No you do have risk, it's just defined. The risk is equal to the collateral, which "covers" you in the event you're "called." This means the price of the underl

No you do have risk, it's just defined. The risk is equal to the collateral, which "covers" you in the event you're "called." This means the price of the underlying has reached the strike price of the option contract, and the counterparty has exercised (as they almost certainly would). Then you are obligated to provide 100 shares of the underlying * the number of calls sold to the counterparty. If that occurs, you lose money - the amount of money you can lose is your risk. In the case of selling covered calls it's capped to the value of your collateral, but it's still risk.