>On the face of it, the options seem to mean that lending OpenAI the money to buy the GPUs is perfectly safe.

I don't think lending money against stock options would be considered at all safe.

However the deal may work along the lines of:

Investors buy AMD shares, send the price up.

OpenAI uses it's option to buy shares for 1c, sell the to the investors for far more, use the profit to buy AMD GPUs.

So it potentially works very well for OpenAI, ok for AMD and questionably for the investors funding it buy buying AMD shares.