Hi @SComeau,
Great question. When you delete an option, the contacts will retain that value and you can still report on it.
Let’s look at an example. I have a property with options A, B, and C.
A contact has the value C:
After deleting the option C, HubSpot will remove it from the dropdown, underline the field in red but keep the value:
Reports will still show that there are contacts with this value:
Should you for some reason (e.g. a bulk edit) lose these old values (the C) and need to retrieve it again, this can be done via the property history, following the same logic as outlined here.
Hope this answers your question!