We study the role of financial product complexity in retail investor trading. We find retail trading in complex options surged with the introduction of zero-commissions, and these traders prefer strategies with high volatility, embedded leverage, and lottery-like features. Model-free subjective expectations of volatility extracted from their trades show significant optimism bias. Importantly, their trades on average yield negative returns of -16.4% over three days, with losses increasing with complexity. Our findings suggest that retail investors do not fully grasp the risk/returns trade-offs in complex strategies, and they are lured by their inherent leverage and promise of lottery-like payoffs.