Sure, if you look at borrowing fees v. put premiums. One has a greater downside risk, but it is easier to make coin on fairly small fluctuations with shorting with stocks that have high bid/ask spreads on the puts.
A while back, I did OK on some calls in a thinly traded stock, but the bid/ask spreads were so obscene that I actually found it a better deal to exercise and sell, than sell the calls.
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