The risk you take, is in the Capital of the underlying share.
If the share tanks and/or gets delisted then sure you get to keep you premium, but you have lost out big time on your shares.
If you holding of the shares is merely to write covered calls then you might want to question your logic!, and possibly consider writing at the money covered calls
If your holding of the shares is for long-medium term capital growth, the 1 -2 out of the money is a reasonable way to go.
If your hold a bunch of shares and the share price is going south on the big slippery slide, then you might need to consider is the premium made, enough to compensate for the capital lost.
Remember its easier and quicker for a share to go south than it is for it to go North.
