[jaredtn]

No, I mean the mathematical mean, not mode. If you take this action infinitely many times, what is your average (mean) return? https://en.wikipedia.org/wiki/Expected_value

[socketnaut]

I see, so you're saying the expected profit on the trade is $0 assuming an efficient market and ignoring trading costs? Your comment is confusing the way it's worded because the expected value of the option is non-zero.

[jaredtn]

Ah, sorry for that. I meant E[return on option - cost of option] ~= 0.