Looks like O2 could output about 500-600mW at 38ohms. If 1W is optimal for HE-500, then in theory I could get only 3dB queiter than that with O2, because double power equals to double sound intensity, which is 3dB difference.
If I will feel that O2 is not sufficient, how much would I have to spend on transparent solid-state amp that could power these (and maybe also even more power hungry headphones like HE-6)? I could chain it with my O2 to reuse ODAC.
Your reasoning is correct but it's not just as simple as volume output. You can get the 500 and even the 6 louder than what your ears can take with an O2. But quality won't be good. Every amp is a compromise and pricing is all across the board, as is sound preference. Set yourself a budget and then audition, audition, audition is the best advice I can give. For some people a low end Emotiva will be 'good enough', others end up with a >10k DAC/amp combo. Diminishing returns apply fiercely and it will primarily be your finances that determine how much those last couple % are worth.