Check out the lastest study I have found on this topic from http://www.utilitarian-essays.com/expected-option-returns.html Basically, the latest study with actual call options on stocks (not just one or two broadbased indices) show that At The Money options held for a longer term offer the higest returns. Here is link to the paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=959024 CBOE offer a list of options whose strike intervals are at the one dollar level, called the "Dollar Strike" options. This list of options allow us to become more At-The-Money: http://www.cboe.com/tradtool/strikepriceprograms.aspx
It depends, look att the options for spy or qqqq, even gld, it is as liquid as you can get even more than many stocks.
In a simpler fashion you can very easily compare options to back/lay gambling whereas the expectation of the game is zero and the spread makes the game with a negative expectation actually. Some traders hope for a mispricing of volatility or else - in order to capture a % yearly. But even this stat arb. isn't so 'ho't these days as options are being priced better and better. Pretty much in order to win you should rely on insider information or just use options for hedging...such as: Buy stock 2:1 margin and buy a put deep otm.