One of the reasons covered calls are popular is because they provide an element of downside protection. The premium you receive when you sell the call option against your stock absorbs some or all of any drop in the underlying stock. How much protection you have depends on how far in the money your strike price is.
On a day like Monday when the market drops 350 points, you will be very happy that you had some form of downside protection. Although your short calls may not have absorbed all of the loss, chances are they absorbed at least some of it.
If you're worried about the Greece referendum vote, and/or what happens after that, there are really 2 basic choices: (1) Sell your stocks and move to cash, or (2) Buy put options as insurance, or (3) Sell in-the-money calls against your stocks to protect them from some or all of any drop.
Option 1 (sell stocks, move to cash) will probably let you sleep a lot better, knowing that you don't have to wake up to a market that has gapped down overnight or over this coming weekend. But if your stocks are in a taxable account and have gains then selling them will trigger a tax liability, so be aware of that.
Option 2 (buy puts) gives you absolute certainty that your stocks won't fall below a certain value (the strike price of the puts you buy) but, like all insurance, there is a cost (the price of the put). If your stock drops below the put's strike and you don't want to sell the stock (for tax reasons or whatever) then you can just sell the ITM put option instead of exercising it.
Option 3 (sell in the money covered calls) is not as iron-clad as (1) or (2) but has the benefit that you get some downside protection while at the same time could earn a little something (the time premium portion of the option you sold). It's not for everyone but in general, conservative investors may feel more comfortable by selling some ITM covered calls during times of uncertainty like we have over the next couple of weeks (and perhaps longer).
No matter what you do this week, you probably should do something to hedge against European risk in the near term. See our article on 5 Different Downside Protection Methods or an older article on Option Hedging With Covered Calls.