[jacknews]

I would exercise at least a single option, or whatever 'gambling play money' you have.

If the company eventually unicorns, you will regret having been a part of it but not benefiting financially at all. Even a single share could be a consolation and may actually end up valuable.

If you max out all your options, assuming that's more than your 'play money' budget, you may much sooner regret the decision if the company tanks in a month or two which seems like a definite possibility.