To submit a nil return you need to log into the PAYE section of HMRC's website and select Employment Related Securities. Once in the ERS system select the scheme you're interested in filing for from the list of schemes and arrangements.
You should then see the option to submit an annual return.
Once in the annual submission process click on Start now to begin.
For a nil return no changes need to have been made to the options over the tax year.
You then need to enter your company details, the name and the registered address used with HMRC. You can also enter your company number and tax reference number onto this page, these are optional but should be entered if you have them.
You are then asked if you want to file for other companies, you should select no and continue.
The final page will allow you to review the entered details before submitting.