The big culprit could be volatility. Just volatility works in favour of the buyer of the option, it works against the interest of the seller of the option. This is a huge risk. Even if the price of the stock has not moved but volatility goes up, the price movement can go against you. Your stop losses can get triggered. Which is why, volatility is a major risk when you sell options.

The second major risk in selling options is the overnight risk of your open positions. This is a major issue for option sellers. Overnight events like rate cuts, Greek defaults and the Brazilian currency crisis can have a huge impact. More so in case of leveraged positions, where such losses can get magnified, manifold. Each rupee movement against you can keep multiplying your losses if you are short on options.

Lastly, remember that option liquidity can be quite tricky when it comes to mid cap and small cap options. Even in large cap stocks, the option volume is concentrated in a handful of strikes. When you go deep ITM or deep OTM, the volumes can evaporate quite rapidly. We all saw this in the crisis of 2004 and 2008 in equity options. If you have sold a call and price moves against you, you find it hard to exit as there are no willing sellers in a volatile market. You end up paying a liquidity premium and on a leveraged position, such a liquidity premium can be quit steep. This is one more risk that you need to be conscious when you sell options.