A penny option can be "expensive" if the market is too far away so that the one-tick price represents a too-high implied volatility.
At the other end of the scale though, there are a lot more "expensive" options that can be had on the cheap at times.
I tend to mark theoretical price as being last/bid ignoring markets that have not ticked for 10 minutes.
I'd jump at the chance of buying one-month DJ ATM options for 100 for example, which seems expensive to the layman, but I'd NOT buy One-week 1000 point OTM DJ options for a tick, because that would seem way too expensive.
Is it about time left? No. Percentage move.
I wound't buy a 1000 point OTM S&P option for a tick either - even if it had a year to run!
It is hard enough to get any market to make a decent sized move in the same direction two days running, very occasionally three.
Since long option positions depreciate quickly as soon as the large moves even stop - let alone go back the other way - timing is far more important, and personally I am only interested in a 2-3 day view, not weeks and weeks.
As I have said in previous posts, I typically only buy options with less than a week left on them.