There's actually quite a few reasons why you wouldn't. If this was just a vehicle to buy heads a bit cheaper and you were going to buy the heads right now then sure, go ahead. But even then there's no actual reason to do it, unless you want the heads for a possible rights issue. Lets say you bought (just as a totally random example) the options for half a cent. You own 2 Million. Most you can stand to loose if, say, the company goes bum up is you're initial outlay of 10k. By converting now you increase you exposure to $40,000 and you've had to pay $30,000 to convert them. You currently gain nothing by doing this unless you are planning on selling them and want to try and squeeze the extra 10% out of them. This is because any SP movement should also be reflected in the options.
