When looking at the risk of a portfolio it is important to look at both up and down side risk.
As other's have mentioned, your calculations regarding the option sale proceeds are a bit low. The thing I would like to add to this is that currently the bid-offer spread of call options at strike price (K) = $125 is $5.10 - $13.30 (VPU options). This means if you wanted to sell these options right now, you could only get $5.10 per option. I would also add that there has been 0 options traded at this strike price, this adds to the uncertainty of the option price you may be able to trade at.
Others have also mentioned the risks around the dividend return both being lower than historically due to the current economic (and therefore market) conditions and not being received due to transaction timings. As utilities provide a necessity, they're more likely to have a consistent cashflow, this reduces the risk of a reduction in dividend but doesn't remove it. The ETF wasn't providing dividends before 2013 (as far as I can see), so it is difficult to know how the fund would react in a recession with regards to providing dividends. In terms of risk to your overall 'portfolio', this is a relatively small element of it. There is much more variability in the underlying share price and therefore option value.
Looking at the risk to your portfolio as a whole (shares + options), I find it helps to look at a chart of the potential return vs. the share price at option expiry. If we firstly look the payoff for each component (shares, options & dividends) we see that above a closing share price of $125 the payoff is fixed. This is what the call option does when you sell one. Below, the share return is perfectly correlated with the share price as the options will not be exercised.
Payoff by portfolio element vs. closing share price
And looking at the annualised return of the portfolio vs. the annualised return of the shares, we see a similar story.
Annualised return of portfolio vs. annualised return of shares
(For these calculations I have assumed the dividend per share of $1.26 is repeated in December)
Regarding the likelihood of the outcomes, the closing share price range I have used is the 52 week range i.e. the share price has been at every point on the x-axis in the last year.
Assuming dividend income is received, your break-even expiry share price is between $117 - $118.
The predominant driver of share options is the volatility of the underlying share, where, if the options is out of the money, more volatility will increase the value of standard call or put options as it becomes more likely for the underlying share price to finish in the money. Vice versa if the option is in the money. There are a number of different metrics to quantify risk (variance, sharpe ratio, Value at Risk (VaR), Tail Value at Risk (TVaR)) but they all centre around variance at the core.
Edit: I missed the fact that dividends have historically (since 2013) been paid quarterly, so my calculations are ~$600 too low at every point on the curves as I assumed half-yearly dividends.