[totalZero]

There's a transaction cost in either direction.

If you buy a call option, the market-maker buys stock to hedge it. That moves the underlier, and raises the price of the call option he just sold. The reverse is true if you sell a call (or buy a put).

Not only that, but there is a cost for all the people and computers that your order touches as it gets executed.

Without price impact from transactions, markets can't be efficient, because new information has to get priced into the market somehow.