Essentially your wealth is path dependent. Though the expected value may be positive, once you are ruined you cannot continue to play (or in this case) invest anymore.
In math you could theoretically always bet (or invest) a fractional value of your wealth, but not in the real world.
There's a +EV (long run, even with finite starting bankroll) strategy readily available under the stated conditions.
Yep, that is correct, but the kelly criterion requires fractional betting, which at some point in the real world is not possible, especially with options.
This is because there is a limited amount of options you can sell/purchase, so the fractional bet will always decrease as your bankroll increases. And there is also a floor where you cannot purchase below if your bankroll falls below (though your investors would have wiped you out by than).
That is suboptimal
The Kelly criterion is about optimizing the speed of growth of your bankroll when betting with an advantage, so it's still "safe" to round down.
My trading account is "nowhere near the size of Taleb's" (to put it mildly) and I don't use his strategy, but I've never found that I wished for fractional optional contract sizes. (I don't even use the mini-S&P options.)
When you're selling deep out of the money puts you can't just assume there will be a buyer to satisfy the fractional betting condition mentioned by the author in the (theoretically correct) kelly principle.
Not doing so is suboptimal
I guess we're just talking over each other - you made an assumption that I don't believe was clear from the context.