Regular startup employees borrowing and buying their stock options is far riskier than them borrowing to do options trading in publicly traded stock markets because they have very little information about their company's future prospects.

What goes on between the founders, board, current investors and likely future investors is likely known to very few amongst them, if at all.

Even if you believe strongly in the product and know the market-fit is bang on, you don't know if the option is currently priced correctly.