It'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/option) and the

It'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/option) and the stock's value (e.g. $0.01/share) is $0. That's the profit, so that's what you pay tax on.