If an option is out-of-the-money upon expiring, it will have no value. There is no reason to pay the commission to sell a worthless option just to close the position. You'll just let it expire and be done with it.
If the option is in-the-money (ITM), however, you'll need to be aware that your broker most likely has an "auto-exercise" policy. That is, if the option is ITM by some amount*, your broker will exercise the option on your behalf. Say you had the XYZ Jan 35 Call in the graph to the right. This option is ITM by $2.50. A broker with an auto-exercise policy will certainly exercise this option. Thus, Monday morning, your account will be long 100 shares of XYZ stock, all of which would have been purchased for the strike price of $35.00 per share.
*Check with your broker to see how deeply in-the-money options must be to trigger their auto-exercise feature.
