Late in the session a same-day option that is out of the money can show a bid of zero. There may still be an ask, a cent or two above nothing. The holder who wants out finds there is nobody to sell to.
How an option gets there
An out-of-the-money option has no intrinsic value. Its whole price is time value, which is the market’s payment for the chance that price reaches the strike before expiry. As the close approaches that chance shrinks. If the index has also moved away from the strike, it shrinks faster. At some point no market maker will pay anything for it.
What a zero bid means
It means there is no standing buyer at any price. A sell order can rest at the lowest price the exchange allows, and it may sit there unfilled until the bell. The last traded price on the screen can be much higher than that. It is a record of an earlier trade and says nothing about what can be had now. The same caution applies as in a wide quote is not a price.
The choices that remain
There are two. The first is to let the contract expire. The loss is the premium paid, a figure that was known when the trade was opened. The second is to rest a sell order in case the index comes back toward the strike and a bid returns.
Both have a cost. The resting order may fill for an amount smaller than the commission and fees on the sale. The expiring contract returns nothing. The holder is choosing between small numbers, and the larger loss is already behind them.
The decision was earlier
By the time the bid is gone the trade has already been decided. The moment to act was while the option still had a buyer. That is the reasoning behind the theta-cliff exit and behind most rules about holding a same-day option into the close.
A plan can make this explicit. At entry, write the premium level or the time of day at which the position is closed for whatever it fetches. That exit is taken while there is still a market to take it in.
The opposite edge
An option that finishes in the money has the reverse problem. It has value and a bid, and if it is still held at expiry it can be exercised into shares. That case is covered in assignment on a long same-day option.
A read that helps earlier
Whether a strike is still within reach is a question about distance and time. Trader shows the expected move, the walls and the gamma flip on SPY, QQQ and IWM, which lets a trader judge that distance while the option still has a bid.