There is no such option. What you can do is to run mkdir -p before copying the file
I made a very cool script you can use to copy files in locations that doesn't exist
#!/bin/bash
if [ ! -d "$2" ]; then
mkdir -p "$2"
fi
cp -R "$1" "$2"
Now just save it, give it permissions and run it using
./cp-improved SOURCE DEST
I put -R option but it's just a draft, I know it can be and you will improve it in many ways. Hope it helps you