Source:
http://www.pma-corp.net/OT/OptionsTrader2006-02.pdf
betting on deep out of the money options is probably the safest way to make lots of money, and the surest way of losing a very small amount of money.
A 67,000 percent return basically means, that for every 100 dollar invested, you make 67,000 dollars. It definitely is a gargantuan proposition. Plus, the downside is that you lose 100$, with very high frequency.
The crux of the idea is to trade deep-out-of-the-money options betting on the fact that there would be extreme volatility at some point in time.
If 10 days are removed from the S&P 100 index then the net worth of the index drops by about 50%., which basically translates, that in 10 years, only 10 days were responsible for 50% of the gains in the S&P index. Now imagine what you could have made if you had exposure to those 10 days.
Nassim Taleb made 67,000 percent in the crash of 1987, simply because everyone thought that market volatility is a thing of the past.
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