The risk of not knowing whether a short option that finishes exactly at the strike will be assigned, leaving an unhedged stock position over the weekend.
If the underlying settles at the strike, the option is worth zero intrinsically, but the holder may still exercise for reasons of their own. The seller finds out on Saturday. Until then they do not know whether they own 100 shares, owe 100 shares, or nothing.
That uncertainty is the risk. A covered-call seller pinned at the strike may discover on Monday that they still own shares into a gap down, or that they were assigned and missed a gap up.
Example: you are short one XYZ $50 put and XYZ closes Friday at exactly $50.00. Roughly some portion of holders exercise anyway. Monday you may hold 100 shares bought at $50 with XYZ opening at $47.50 — a $250 loss on a contract you thought expired worthless.
Original diagrams for the ideas on this page. Illustrative, not real market data.
A gap between two sessions. A gap is a price range where no trading took place: the market shut at 30.80 and reopened at 31.60, so the shaded band in between holds no candles at all. It stays an open gap until price trades back through it.
Educational only, not advice. Spotted an error? Post in Site Feedback.