The options framework provides a concrete way to implement and reason about temporally extended actions. Existing literature has demonstrated the value of planning with options empirically, but there is a lack of theoretical analysis formalizing when planning with options is more efficient than planning with primitive actions. We provide a general analysis of the convergence rate of a popular Approximate Value Iteration (AVI) algorithm called Fitted Value Iteration (FVI) with options. Our analysis reveals that longer duration options and a pessimistic estimate of the value function both lead to faster convergence. Furthermore, options can improve convergence even when they are suboptimal and sparsely distributed throughout the state space. Next we consider generating useful options for planning based on a subset of landmark states. This suggests a new algorithm, Landmark-based AVI (LAVI), that represents the value function only at landmark states. We analyze OFVI and LAVI using the proposed landmark-based options and compare the two algorithms. Our theoretical and experimental results demonstrate that options can play an important role in AVI by decreasing approximation error and inducing fast convergence.