From The Motley Fool http://wiki.fool.com/Options_for_Short_Selling_Penny_Stocks This bit caught my eye, especially the last sentence...:::::::::: "It is often more difficult to short sell a penny stock than it is to short sell a blue chip stock sold on a regulated exchange. This is true for two reasons. First, many investors have little faith in penny stocks and therefore will not be willing to purchase an option from a short seller. Second, because penny stocks are often unregulated, investors may believe that the short selling is part of a scam by the company to short itself and make money by going bankrupt."