Derivatives are mathematically zero sum minus costs. That's why. For traders in aggregate, they are a certain loss. 1. Fair enough. HSO makes the point that t

Derivatives are mathematically zero sum minus costs. That's why. For traders in aggregate, they are a certain loss. 1. Fair enough. HSO makes the point that this is true for all financial transactions. So by your logic, investing in the stock market is also a guaranteed way to lose money over time. I don't think this is your contention, but this is really going to end up being a silly conversation if we have it. We'll just agree to disagree. 2. On a different note, in the interest of sharing something I learned recently. Options almost always trade at a volatility premium to their realized volatility. The reason for that is that vol traders want to price in the future uncertainty in vol. Derman writes about this a bit here by comparing it to interest rate term structures: http://ederman.com/new/docs/gaim-trading_volatility.pdf http://ederman.com/new/docs/gaim-trading_volatility.pdf 3. Also, historically (if that matters) selling vol is actually positive EV. BXM is a buywrite index and has outperformed the SP500 on a risk adjusted basis (http://ederman.com/new/docs/gaim-trading_volatility.pdf http://ederman.com/new/docs/gaim-trading_volatility.pdf) indicating that option vols have not been fairly priced. 4. Countering #4 is the popular Taleb wisdom about selling vol. Taleb is a net buyer and won. His general contention though is that kurtosis of the distribution is mis(under)priced. So from those 2, you might think that selling at the money options is positive EV and buying "tails" is positive EV. Of course the rest of the Taleb intuition is that we have no idea what the actual yield distribution should look like, so all pricing is out the window.