The selling short of an underlying security while a call option is simultaneously purchased on that security. The investor does this if he believes that the underlying security will fall in value but wants some insurance in case this doesnÂ’t happen. The investor effectively has purchased a put option on the underlying security. Thus, the investor is protected against unlimited loss on the short position by owning the call option. The most that an investor can lose by employing this strategy is the difference between the sale price of the underlying security and the strike price on the call option, plus the cost to buy the call option.