I tend to avoid doing this, for reasons someone else described in a comment (https://news.ycombinator.com/item?id=30993390): some programs spit --help output to stdout, but others to stderr, so you wind up running it a second time as “my_cli --help 2>&1 | grep ...”.

In addition, if I don’t perfectly know what I’m searching for, I’ll often get the regular expression wrong. So I prefer to check the manpage first, since it’s a lot quicker to try different search strings in my pager than by repeatedly modifying my previous command string in the shell.