Taleb wrote the excellent book Fooled by Randomness. He shows how humans consistently mistake probability with expectation (probability times pay-off percentage). When you buy very OTM put options, you can get them cheap. They will expire worthless. But if you keep doing this, there will come a "rare event" that will make you suddenly very well off. The theory is that due to the frailty of the human mind, and the mistaken use of mathematical models, the pay-off will be much larger than your steady losses, and you will make a fortune with options. The tough thing is to stay with this type of program. Most people would rather make money consistently, or at least most of the time, than lose money consistently but make it in sudden, unpredictable bunches. Apparently Taleb runs Empirica Capital a hedge fund with $300 million, with this basic idea.