How to select the strikes that have more possibility to expire zero at the close of the day
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Since you are wanting something to expire at 0, Iām assuming you are selling options (collecting premium). A rough estimate for this is to use Delta. The Delta is the change in option price per change in underlying but is also the approximate likelihood that the option will expire in-the-money. If you look at the option chain, the ATM strike will be at ~0.50 delta; the further out-of-the-money from ATM you get, the smaller the delta (and the comparable likelihood to expire ITM).
This is where the art comes in: you need to balance liquidity, premium collected, and likelihood to expire worthless. For example, you could select a strike that has 0.01 delta (~1% chance of moneyness) but you will collect almost no premium and it will be tough to enter into the trade due to low liquidity. However, you could sell a 0.30 delta contract (~30% chance of moneyness) and have less liquidity issues but higher chance of being ITM on expiry. Either way, the premium will be small due to it being less than 1 day until expiry.
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