You claim to be supporting expected utility, but you talk only about money. You don't just "stop" if your utility function is convex--you buy the option for a 50% chance at 20,000, because that chance is worth more to you than $10,000. Conversely, if your utility function is concave, you buy the other option. There is no "hiding" involved: if I am risk-averse, I definitely take the $10,000 for sure, and indeed would likely be willing to take $9,999 for sure.

In a world in which people are risk-averse--for very good evolutionary reasons--you won't be able to get somebody to trade those options in both directions. This is, after all, the entire principle of insurance, that you can trade risks because there is a difference between the risk aversion of an individual and an insurance company. In principle, yes, you could buy anti-insurance, where you pay money that you lose if your house burns down, but since you're always trading with a risk-averse person, you cannot profit on average.

If you can find somebody risk-loving, they may be willing to give you the deal that allows your proof at the end to function. As it is, risk-averse dealers will not make deals that increase their risk with no improvement in expected monetary return (to compensate for the lower expected utility), and the market does not work that way.