I was very verbose but the main point I wanted to make was that Taleb goes after deep OTM options rather than ATM, but yes same idea otherwise.
You have described the process underlying a Fixed Indexed Annuity. Over time, they return a bit more than a bond index, with similar volatility. VERY expensive products, though. You pay a high up front commission and ongoing expenses. If you can "roll your own" and minimize transaction costs, you might get slightly better returns.