The documentation of optparse mentions make_option() as the standard way 
to create an option list:

For example, in the doc of python 2.5:

====
14.3.3.2 Populating the parser 

[...]
pass it an Option instance (as returned by make_option()) 

[...]

option_list = [
    make_option("-f", "--filename",
                action="store", type="string", dest="filename"),
    make_option("-q", "--quiet",
                action="store_false", dest="verbose"),
    ]


(make_option() is a factory function for creating Option instances; 
currently it is an alias for the Option constructor. A future version of 
optparse may split Option into several classes, and make_option() will 
pick the right class to instantiate. Do not instantiate Option 
directly.) 
===============

However, make_option is not part of the function exported in the __all__ 
list of optparse. Strangely enough, this does not prevent to use 
make_option() in regular python scripts, but it does not work when 
packaging a python application, for example with pyinstaller.

The problem is also present in python 2.6

The fix is either to update the documentation to use Option() directly 
or to add make_option to __all__