Why be an option/futures/day trader when it is zero-sum?
ad: Short answer: No, don't do it.Long answer:
For anyone interested in this stuff I highly recommend the book Trading & Exchanges by Larry Harris.  The book is about market microstructure, and the knowledge applies to any market whether it's equities or options or online gambling like intrade.com.  It's a textbook, so not riveting reading, but great information.As other posters have pointed out, it depends on how you define zero-sum.  Trading is zero-sum, when you compare it against market returns.  However, as a trader you are providing services such as immediacy and liquidity.  My AAPL stock is more valuable to me as an investor, since there is an active market, and people are willing to sell it to me and buy it from me on short notice, even though I am losing   some money to them through the bid-ask spread and execution costs.  The other comments about options being useful for spreading out risk are true as well.As far as the rationality goes, it's rational if you're an expert, you have better information than the market, if reading the above textbook kept you up late at night, etc.  Your intuition about the odds are correct, though, so keep your pessimism handy.So why is my short answer 'no'?  Well if you don't have the patience to read the whole post then you definitely shouldn't do it, since learning all the math behind it is going to be way more boring.  You've read Taleb which is a good sign.  Now that you're at the end the answer is 'maybe', but your wording concerns me: what do you mean by "getting into" options trading?  If you're going to get some intensive training and learn from professionals working at reputable investment firms, then great.  If you're going to read a few articles off the internet and then dive in, then that is definitely not a good idea.  Trading is all about having an edge against the person you're trading with, so a few articles don't improve your odds much.