I don't think there's any issue at all. Since all options have to be settled by the expiration date, it means ALL transactions on any given option must net to zero. For example:
Days Left Description A B C D Net
60 A sells call to B for $1 $1 -$1 $0 $0 $0
30 B sells call to C for $2 $0 $2 -$2 $0 $0
15 C sells call to D for $4 $0 $0 $4 -$4 $0
0 Worth $3 at expiration -$3 $0 $0 $3 $0
Net return -$2 $1 $2 -$1 $0
It actually becomes a negative sum game when you add commissions. Just as it is for most such games -- lottery, parimutuel horse racing, poker, insurance, etc. In such cases, the "house" is usually making a nice profit while everyone else is just exchanging their wealth (after the "vig" is taken out). The "house" is just the facilitator of the exchange of wealth.
It's an interestion question. Are options a zero-sum game, and if so wht does that mean.I think you'd have to define what you mean by zero-sum game. And even then I don't think the issue would be as easy as one may want it to be.
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