Yes you can make money faster with options. You can also lose money faster with options.

<<<what are options>>>

An option is a contract to buy or sell a specific financial product officially known as the option’s underlying instrument or underlying interest. For equity options, the underlying instrument is a stock, exchange-traded fund (ETF), or similar product. The contract itself is very precise. It establishes a specific price, called the strike price, at which the contract may be exercised, or acted on. And it has an expiration date. When an option expires, it no longer has value and no longer exists.

Options come in two varieties, calls and puts, and you can buy or sell either type. You make those choices - whether to buy or sell and whether to choose a call or a put - based on what you want to achieve as an options investor.

<<<how do they work>>>

If you buy a call, you have the right to buy the underlying instrument at the strike price on or before the expiration date. If you buy a put, you have the right to sell the underlying instrument on or before expiration. In either case, as the option holder, you also have the right to sell the option to another buyer during its term or to let it expire worthless.

The situation is different if you write, or "sell to open", an option. Selling to open a short option position obligates you, the writer, to fulfill your side of the contract if the holder wishes to exercise. When you sell a call as an opening transaction, you’re obligated to sell the underlying interest at the strike price, if you’re assigned. When you sell a put as an opening transaction, you’re obligated to buy the underlying interest, if assigned. As a writer, you have no control over whether or not a contract is exercised, and you need to recognize that exercise is always possible at any time until the expiration date. But just as the buyer can sell an option back into the market rather than exercising it, as a writer you can purchase an offsetting contract, provided you have not been assigned, and end your obligation to meet the terms of the contract. When offsetting a short option position, you would enter a "buy to close" transaction.

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One thing you need to understand about options is that they are a "zero-sum" investment. For one option trader to make a dollar on an option another option trader has to lose a dollar. Consequently, the total return for all options traded is exactly zero if you do not consider commissions, and less than zero if you do consider commissions.

Stocks, on the other hand, are not a zero-sum investment. If the price of a stock goes up, everyone who owns the stock makes money and, except for the few people who have a short position in the stock, no one loses money. Consequently the total return for stock investors (over a long enough time period) is much greater than zero.

That makes the "average" return for stock investors higher than the "average" return for option traders. However, the exceptionally good option trader can make much more than the exceptionally good stock trader/investor due to the leverage provided by options.

Options are also more complicated than stocks. The price of an option depends on more factors than the price of a stock.

To learn more about options see

http://www.optionseducation.org/

and/or

http://www.cboe.com/LearnCenter/default.aspx
References :
http://www.optionseducation.org/basics/whatis/default.jsp

The option to buy KO at 52.50 that expires at the 3rd Friday in August sells at $1.46 about currently. Options are sold only in 100 share increments so one option would cost $146. If the stock increases in price by $5.00 a share before that date, then your option contract would be worth at least $2.50 and perhaps more depending on how soon the stock increased by $5.00. So on your $146 investment you would have made $250-$146 = $104 or 71%. All less brokerage commissions.

You can also buy an option to sell a stock at a given price for a give period of time. It works the same way but in reverse. You make money if the price falls instead of increases.

Now options have various expiration dates. For KO they currently are June, July, August, November, January 2011, and January 2012. As the expiration dates extend out the price of the option becomes greater. That is how they work.
References :

My recommendation is that you start by going through the free educational material at

http://www.cboe.com/LearnCenter/default.aspx

and

http://www.optionseducation.org/

After doing that I suggest you read at least one good book about options. My favorites are "Option Volatility & Pricing" by Natenberg and "Options as a Strategic Investment" by McMillan.

If you then want to pay to go to a class you will at least have background information which will help you get the most out of the class and reduce the chances of getting swamped with new information presented too quickly.

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Edit:

I see another answer suggested you use

http://www.optiontradingpedia.com

I just spent a little time looking at that site and it is full of errors. Do not try to learn options from it.

Fur an example of the problems at the site, consider the paragraph

"Interpreting The VIX
The VIX is quoted as a percentage estimating the implied volatility of the market, which is the expected annualized movement of the S&P-500 over the next 30 days. When the VIX is at 30, it means that the S&P-500 might move as much as 2.5% (30% divided by 12 months) up or down over the next 30 days."

http://www.optiontradingpedia.com/vix.htm

To convert an annual volatility to a monthly volatility, you divide by the square root of 12, or 3.46 so if the annualized volatility is 30%, the monthly volatility is 30/3.46, or roughly 3.5%.

Second, saying the 30 day volatility is 3.5% does not mean the S&P-500 might move as much as 3.5% up or down over the next 30 days. It means the model predicts the price will change by less than 3.5 percent (one standard deviation) 68% of time time, less than 7 percent (2 standard deviations) 95% of the time, and less than 10.5 percent (3 standard deviations) 99% of the time.The volatility is simply the standard deviation expresed as a percentage. (The distribution percentages can be looked up in a table such as the one at

http://www.itl.nist.gov/div898/handbook/eda/section3/eda3671.htm .)
References :

hope this helps
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It seems that they try to jam too much into a short period of time — if that’s your learning style, go for it. Most people learn better by learning blocks of information that fit together into a process.
References :