TheDonald , destroying America One Fake News Story At a Time . MAGA Make America Grieve Again <| sep |> Because its impossible to be delta neutral selling options on a single security . You can sell ITM calls , and come sorta close , but at the end of the day , you are still bullish on that particular security , up until the strike point , at which case , your PL is flat , and you don ' t care . But certainly , the worst thing that can happen to you , is still the stock dropping a considerable amount . This is extra true selling puts . So regardless , of weather you sold puts or calls , you will bullish on that security , and therefore , not delta neutral . Hence you need a second , inversly correlated security as well to sell calls on .