To expand on pmalynin's excellent answer with an example:

Imagine you think Apple is better than any other technology company and you want to bet it will outperform other technology companies. If you simply buy Apple stock, you might lose money even if it outperforms all other tech companies, in the case that the whole market is going down. Because of the above, you need to devise a strategy that will earn you money on the difference between Apple stock and the overall tech sector stocks. Those strategies usually involve combinations of stock and derivatives and you can optimize your returns vs exposure with simple models.

The goal is to have zero correlation to the index (called beta). You’re hoping that your long assets will go up in value regardless of what the index is doing (the alpha of the stock). Similarly with your short positions, you’re hoping that they are going to go down regardless of what the index is doing. In a sense you’re eliminating “chance” by driving the beta close to zero and instead are focusing more on what actually makes the company a good investment (it’s alpha)

Because your portfolio is neutral in terms of the market/sector, but not on individual options. A good place to start is to read up on statistical arbitrage.