What Is the Primary Risk of Using an Option with an Expiration Date Shorter than the Underlying Exposure?

The primary risk is the exposure becoming unhedged or "naked" upon the option's expiration, known as expiration risk. If the underlying asset's price continues to move unfavorably after the option expires, the hedger is fully exposed to those losses until a new hedge is established.

This necessitates constant monitoring and timely execution of a roll or replacement trade. This mismatch is a major pitfall for inexperienced derivative users.