This Reddit comment proclaims:
A penny stock basically IS a call option with a strike price of zero that doesn't expire.
I suspect there's a high correlation between penny stock investors and people who buy deep OTM options hoping for a home run.
I understand the concept of a call option that doesn't expire, but I don't understand "strike price of zero". Though penny stocks can $\rightarrow 0^+$, they must $\in (0, 1)$. So why would the strike price be 0?