The risk to a trader who has sold an option that at expiration the price of the underlying security will be identical to the exercise price of the option. The trader, therefore, will not know whether the option is likely to be exercised.
The risk to a trader who has sold an option that, at expiration, has a strike price identical to, or pinned to, the underlying futures price. In this case, the trader will not know whether he will be required to assume his options obligations.
The risk to the seller of an Option that at expiration the Option will be exactly at-the-money. The seller will not know whether the Option will be exercised. This type of risk is an important issue for digital Options.