The key part to remember is that the person removing the options knows where the prize is and is not removing it.
Imagine there are 100 options. You pick one at random. Your chance of winning is 1 in 100.
Monty Hall has a 99 in 100 chance of having the prize. He then removes options from his pool, purposefully not removing the prize.
He still has a 99 in 100 chance of having the prize, because he knows where the prize is and specifically hasn’t removed it. But now there is only one choice left.
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