The purpose of this study is to investigate the impact of ATM covered call writing and ATM protective put option strategies in pure portfolio performance from risk and return dimensions. Consequently, the study aimed to investigate whether the two hedged portfolios perform better than unhedged portfolio, testifying the study hypotheses and to answer the relative questions. The study sample consisted of fifty five companies listed in ASE. Quarterly return of individual stocks after hedging with option strategies as a dependent variable and equally weighted index return (a proxy of market portfolio) as an independent variable were used. Black and Scholes model has been implemented to calculate the ATM option call and put prices. Basic investment characteristics were calculated using Market Model for individual stocks and portfolios. The study concluded that covered call option is superior to the other two strategies and more desirable for hedging in ASE. Both hedging strategies result in magnificent reduction in unsystematic risk. Simultaneously, the covered call strategy result in considerable reduction in systematic risk. Hedging a portfolio by selling covered call strategy lead to improve the performance of the portfolio according to the AIMR's measures, Sharpe ;Treynor ; Alpha Jensen; CAPM and Sortino Ratios.