Basic Points

• When talking about options, we say write when a trader sells an option to open a new position. Simply saying “to sell” an option is unclear, as that could mean either selling-to-close or selling-to-open a new position. 
• The most common example of writing is the covered call strategy, which is buying 100 shares in a stock and then selling-to-open a short call on that same stock. 
• In general, writing is to accept an obligation rather than a right, and in exchange for that risk, there is income from being on the other side of an option’s time decay.

Intermediate: Time Decay Dynamic

The income that option writers receive is the compensation for taking on uncapped tail risk (worst case scenarios). based on future events that may or may not happen. The option buyer gladly pays for a right to profit on the unknown or to protect against the unknown. As the counterparty, this means undefined risks for the writer.
However, option writers can define their risk by buying back some further OTM options. Writers generally expect a volatility risk premium as compensation for willingly taking on some tail risk—or at least needing to deal with it and write it back to define that risk.

Another issue with writing is that there is always a possibility of early assignment, since you have an obligation rather than a right. It is possible but improbable to be assigned if an option is ITM. 

Advanced: Main Risks

But if an option is either OTM, approaching its ex-dividend date, or running out of time, then assignment risk increases. This is an important dynamic to be aware of because it can create urgent situations which might be near impossible to hedge (counterbalance) with precision. 

Assignment risk is another main problem because assignment can create abrupt shifts in a portfolio’s net directional exposure since it would change the amount of deltas (directional risk) held in an instant. This is why brokers will generally afford better margin to European styled options which do not face early assignment risk, such as SPX.