If you consider gains and losses just in terms of dollar value, then options are zero-sum. However, if you take non-linear utility functions into account, then a fairly priced transfer of risk from a more risk-adverse party to a less risk-adverse party is a win-win situation.
For instance, let's say a large institutional investor determines that a 5-yr 10-yr flattener on South Whereisitstan bonds is very attractively priced, but can't stomach the risk of the 10-yr yield going through the roof. They pay an investment bank to create some OTC options on the Whereisitstan 10-year notes and several medium-sized hedge funds take the other side. If the hedge funds are right, the big institution over-pays for the options in strict dollar terms, but the options allow the institution to enter into a very attractive bond trade they otherwise would have been unwilling to enter. In this case, everyone could win, even though the big institution takes a (both realized and statistical) loss on the options.
For instance, let's say a large institutional investor determines that a 5-yr 10-yr flattener on South Whereisitstan bonds is very attractively priced, but can't stomach the risk of the 10-yr yield going through the roof. They pay an investment bank to create some OTC options on the Whereisitstan 10-year notes and several medium-sized hedge funds take the other side. If the hedge funds are right, the big institution over-pays for the options in strict dollar terms, but the options allow the institution to enter into a very attractive bond trade they otherwise would have been unwilling to enter. In this case, everyone could win, even though the big institution takes a (both realized and statistical) loss on the options.