"Safe" is a relative term. It is certainly as safe (or risky) to write calls on the ETFs whose options are thinly traded as it is to write options on the actively traded ETFs, when you own the underlying ETFs (or to write the naked put instead of doing the covered call). The problem occurs if you want to make an adjustment to the position. If adjustment time arrives, it may be very difficult to buy the call you want to cover and sell a new option at reasonable prices.

This is one of the reasons why I much prefer writing the NP (naked put).  If the RETF runs higher, it is may be possible to cover the NP for a nickel.  That would allow you to write the next month put early (it would have more time premium, and thus additional profit potential).   If the index is unhappily lower, and if you want to roll, you may be able to get a fair deal by entering a spread order.

1) If you are certain you want to own the ETF, even if it drops in price, then making adjustments is not as important for you. You can simply wait for expiration and then write a new call.

2) Always try to enter your order to adjust (roll) the position via a spread order.  Many market makers will give you a better price when entering a spread order - that is, you will not be forced to pay the offer on one option and sell the bid on another.  Not always, but sometimes. 

Sadly, that's true that option premiums are low these days. But, the index is cyclical - it rises for awhile (sometimes years) and falls and rises again.  It's impossible to predict the future - that's why I continue to write options, even in this low premium environment.

The low VIX is really a measure of 'complacency'.  Option premiums jump on fear.  If a big down market is anticipated, or feared, then option premiums jump as investors are eager to buy puts to protect their holdings.  To see how this works, just take a look at the VIX graph surrounding 9/11 (2001).  Implied volatility surged overnight (or at least when the markets reopened).


My pleasure.
Best regards,
Mark