[beezle]

Couple things - most options trade a spread of 1-3% depending on how far from the money they are and how near expiration. Option interest also follows interest in the underlying.

In a less traded issue - I guaranty the real price is not $0/$5, it is just nobody has bothered to show interest yet (and sometimes brokers do not provide the true market). Assuming you have a reasonable idea of where the bid should be, low ball it a little and put an order in. Like magic, you'll be joined by a few hundred contracts and in fact, probably out bid. An offer may also appear too.