In options trading, the only way to capture volatility is if you both buy and sell a volatility mispricing. If you just sell an overpriced option, all you have is a delta bet, not a volatility bet. It's a common misnomer that if you just buy options that are cheap or sell options that are expensive, then you are capturing some sort of edge in volatility. Only if the position is continually hedged, are you actually capturing that volatility. Let’s say you are a market maker and a customer sells you 10 Dec 105 calls for .80 with the stock at 100. Let's say these calls have a 40 delta and you are buying them at a 30 volatility which you believe is too cheap. So now you are long 400 deltas. In order to lock in a 30 volatility on those calls, you need to sell stock at exactly 100.00. Because the options are only at that volatility at that price. If you go to sell stock and you don't get that price, say you sell stock at 99.50 instead. Well, at 99.50, you did not lock in a 30 volatility but a 33 volatility. Well, that's no longer underpriced. You wanted to buy a 30 volatility but now you have them at a 33 volatility. What happens if you don't sell any stock? You didn't lock in any volatility, you simply took a 400 delta bet. The delta is a function of the volatility. What MM's typically do is if they buy those Dec 105 calls for .80 at a 30 volatility, they will look to sell some options they think are overpriced to hedge the deltas and capture the volatility. So maybe they ended up selling Dec 110 calls for .35 which are trading at a 33 volatility. So they sell enough to be delta neutral. So they bought a 30 volatility and sold a 33 volatility. They captured some edge in volatility. You simply cannot just buy underpriced options or sell over priced options for edge. They teach you this day one of being a MM.