You can only sell a stock short on the cash market during the day. To understand why this is so, we need to understand how the exchange treats a short transaction.
When you short a stock, the stock market doesn't differentiate between a short sale and a regular stock sale. It treats both equally. However, in the case of a short sale, one would have to have the shares ready for delivery.
For this reason, short selling should only be done on an intraday basis. This means that if you're shorting a stock, you should buy it back before the end of the day. But if you fail to do so, you have to pay a heavy fine. This penalty could be 20% more than your short price.