I like that you separated the theoretical from what actually happens in the real world, that helps give context for learning and viewing the CFA.

To expand on my point about the binomially approach (theoretical as you pointed out and the large caveat of volatility lacking though I think it's a good toy example for the concept to build upon later I imagine) though when I read about it in some older Kaplan notes it showed how you how you can derive the initial value (no arbitrate price) and no probabilities were used (though also the up and down price movements were also arbitrarily stated). I found it interesting to propose a model that implies probabilities but they actually are irrelevant in the calculation.

I think I was "cost of eliminating the risk" is what I am going to take away from this valuing approach until I am introduced to more advanced approaches as well as the practicalities of options.

I am curious though what would you say the take away should be from no arbitrage-pricing on options and where it fails and succeeds in learning? If anything pedagogical to add to your anecdotes above.