Can you imagine there was a time when the entire US options market was running on flat volatility vs strike price (implying that financial asset prices are lognormal). Must have been cool to just buy the cheapest, most OTM options and collect big results every now and then.
This may have been possible pre-1987. Since then, out of money put options have a very steep skew, so not possible. Even if OTM put options are very cheap nominally, but by having much higher implied volatility makes them much more expensive compared to how much they would otherwise cost without the skew. This from a Kelly perspective makes them much less lucrative if one was to try to construct a strategy with this. It cuts your ROI big time.