A long time ago i read about that there would be options that expire the same day. If i did not missunderstand or if it wasn´t a dream... Have you heard about this?
Options expire on the third Friday of the month, so tomorrow there will be a lot of options that expire. All options that expire in January of 2004 will expire tomorrow. Every month there is one day when options purchased that day will expire that day. That is for equity and index options in the US anyway. I am not aware of any options that don't expire on the third Friday, but maybe there are some somewhere.
technically options expire on saterday ! It can make a difference, lots of options mm in Amsterdam exercised their out-of-the momey puts in october 1987 when they saw the US close so badly on friday.
You might have been reading about bullets... they expire every day. Bu they are not exchange traded options.