In a series of controlled laboratory experiments, we provide evidence for “Craving by Design” (CbD) hypothesis, where people knowingly expose themselves to negative tail risk due to craving for monetary gains. We then document the “cheap call selling anomaly:” selling calls priced below $1 has consistently delivered negative long-term returns and negative skew—a puzzle when viewed from the prevailing body of knowledge but a matter of course under CbD hypothesis. These findings bring novel insights into the topic of limited self-control, the issue of problem gambling in recreational gamblers, and the motivations underlying investor decisions.