You can put options for the clients on both the client and the server. The terminology you used on for the server is correct, but not for the client.
The client uses a "client option file" not a client option set, by default called dsm.opt, but you can create one with any name as long as you use -optfile={client option file name} when invoking the client.
Furthermore, depending on how you configure the client option sets on the server, they can override or not the options defined in the client option file.