I think I got you

I didn't think this way before. This is a good hedge strategy.

For example, AMD Jun $25 call is $0.40 while if I bet AMD will go down. I can do:

1) buy 1 call at $40
2) short 200 shares (because delta is about 0.5)

When the price goes down $.20, I break even.

So market neutral means option is always a defensive tool.