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good q, tikhonj.

a lot of people DON'T trade options on their expiration day. Even marketmakers, whose job is to provide liquidity in the name often shy away from it or demand high premia.

historically, retail investors sometimes closed out their positions on expiration day instead of exercising. this might sound weird, but some people have weird portfolio restrictions so its occasionally sensible.

also, for some equities, there are big events that happen to coincide with expirations. If you have an opinion on a big event (lets say AAPL options are expiring and you think there's going to be a huge announcement), it lets you buy expiring options for virtually no volatility premium.

also: people like gambling. buying cheapie out-of-the-money options is kind of like buying a lottery ticket. I've seen them hit (saw a guy take home a 5million dollar win one wednesday morning for a $6k lottery ticket he bought on the close on tuesday)

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