It seems like there is a contradiction between the fact the option pricing is risk-neutral and the large amount of option trading that is done for speculation.
Since the option is risk-neutral, a trader cannot expect to make a profit. He could use the option as a form of insurance, but in practice a lot of options are used for speculation. Since the expectation is zero, but the option costs a fee, this seems like a bad choice for the investor.
Edit: There is an related answer to another question which helped me a lot: http://quant.stackexchange.com/a/1116/1157