It&#x27;s legal, not because the stock has no value, but because the spread (i.e. the difference) between the strike price of the option (e.g. $0.01&#x2F;option) and the stock&#x27;s value (e.g. $0.01&#x2F;share) is $0. That&#x27;s the profit, so that&#x27;s what you pay tax on.