Sometimes a job application will request certain demographic information - race, gender, etc. In the gender field, I most often find that there are only 3 options: male, female, and decline to self-identify. There are almost never alternatives like "other" or the option to write-in. My question is, how should a transgender individual fill this in? Does it even matter? Is it better to use the gender I identify as or the sex I was born as? Is it better to just always select "decline to self-identify"? What about non-binary/gender-neutral individuals?

I am already selective in which companies I apply to, in that I won't apply to companies in states that lack protections against discrimination on the basis of gender identity. However, I'm not sure about whether I should be open to potential employers about my gender identity or whether I should try to hide it; it's hard enough to get an entry-level job.