A large company is guaranteed to have been analyzed very carefully by skilled analysts. If you have a small sum to invest, a big risk appetite and you are willing to do your homework then you are better off trying your luck with understudied companies in inefficient markets.

It follows from the theory of comparative advantage. The big players can extract a lot more than you can from big companies but only a little more from the small ones.

Not really. On paper it works, but in practice your position is large enough relative to the whole that your activity is affecting the price. You won't be able to buy as much as you think for that price because there are not enough sellers, and even if you did, your act of selling drives the price down. Big players worry about this all the time. Small players can safely ignore it. The line between big and small depends on the company in question.

I realize that you were talking about options which have slightly different rules, but overall the same applies, in ways adjusted for the rules of options. (I don't know those rules well)

Options in such stock even if it exists will not be liquid enough you can do that easily . That is you won’t find counter parties for that kind of option for this type of stock easily .

This sounds just like a great Bitcoin opportunity I saw recently in a tweet from Elon!