You cannot predict exactly what's going to happen in the future. Having options allows you to respond quickly as different situations arise.
Option to Abandon
Lifeboats on an ocean liner are an example of the option to abandon. The same with backups of your software. With luck you'll never need them, but it's worth creating the option just in case.
Option to Backtrack
The option to backtrack is similar to the option to abandon, except that you don't abandon the direction completely, you go back to a previous "safe" point ready to try again.
If you release a new version of some software and then find it's unstable, you want to be able to go back to the previous version. Any kind of "rollback" or "undo" capability is providing the option to backtrack.
Being able to backtrack is important for learning. To experiment with a piece of software, try out a new refactoring, or test the boundaries of a technique you want to feel safe that you can go back to where you were.
Option to Choose
This option is about alternatives. To travel between cities you might take a train, but if the train drivers are on strike you'll need to find another way. By thinking about your choice of options in advance, you won't need to panic.
An example in software is where the business logic is decoupled from the data storage technology, so that users can choose between several different databases. This can create value by widening the potential market.
Option to Defer
This option is about timing. Do we have to decide now or can we decide later? The option to defer is about pushing back decision points, to allow more information to come in, or being able to put something on hold, with the possibility of returning to it later on — for example, postponing a space shuttle launch due to icy conditions.
Traditional software development methods force the development team to commit to features a long time before they are developed or deployed. Agile methods let you defer commitment (see this article by Chris Matts and Olav Maassen for a more in-depth explanation of how options-thinking relates to agile).
Option to Expand (or Contract)
This option is about resources. If a customer wants to place a huge order with you, can you accommodate it? Can you recruit quickly? Can you move resources from a less successful project to another more successful one?