Every security has some risk. CDFs for example are considered as quite risky assets. On the other hand, the risk also relates to the use that an investor makes of a particular security.
Options are used to hedge against risk of movement of currencies, interest rates, commodities etc. So they are primarily used to reduce the risk. They are also used for speculation so people tend to trade options due to the movement of their price which is connected to the underlying product (a commodity for example). If you do that, then there is of course a risk factor you need to consider.