You're hitting on one of my main points, which is that if they short the stock and it pushes the price down to the point where the options expire worthless, they have a fighting chance of breaking even, essentially spending the premium they collected to short the stock and buy it back after op ex.
The way you're portraying it, they lose the premium and have to buy the underlying for delivery. That's an extra cost to them.
I'm arguing that they would(should?)prefer to stay naked, which also reduces the risk that between the time they buy the underlying(presumably the past 3 days)and delivery after op ex, something blows up in their face. From what I'm told, the pros don't like to hold something overnight if they don't have to, never mind buying the underlying on Monday for delivery on Friday.
JMO.
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