Are cheap out-of-the-money options a good deal?
Not because they are cheap. An out-of-the-money option is cheap because the stock must pass the strike by expiry for it to be worth anything, and the further the strike, the smaller the chance the prices give that. A call far above the stock's price may cost a few cents and, under the odds in the prices, end worth nothing most of the time. Cheap and good value are different things.
Try it: calls on a $50 stock with 30 days left, priced at 30% implied volatility (made-up numbers). Move the strike up and watch the price and the chance fall together.
Simulated example, priced by the StrikePath engine (Black–Scholes, interest 4.3% a year). For learning; not advice.
The odds in the prices
Option prices can be turned around to give the chance, under the odds the prices assume, that the stock ends above any level. They are not a forecast: they are the odds that, with the stock assumed to grow at the interest rate, make the model's price equal its average payoff. Real odds can differ. Whether a trade is worth making depends on the real chances and sizes of its payoffs, which no one knows in advance, and on the costs of trading.
Many small bets
Buying many cheap calls usually means many small losses and the occasional large gain. Whether that adds up depends on the real odds and the costs, which is why the course's Lab runs the same trade many times instead of once.
What this shows, and what it doesn't
One volatility for every strike here; real prices usually price falls and big moves differently (skew). And the odds come from the model; real outcomes can be more extreme.