Lack of liquidity is a downside. You're generally locked into your position unless you want to take an additional loss. In an ideal world, you'd sell the call, and buy it back on the expiration friday.
Here's a very realistic example of a non-ideal situation:
Let's say you buy GE at 20 and sell a 20 call for $2. GE then goes down $2. Your shares are now worth $18 but your option is worth $1. It doesn't expire for another 2 weeks.
Now if you believe the stock will continue going down, you've kind of bet against yourself. Afterall, being long on a stock is bullish, and selling a call is bearish.
So you can sell the shares and buy back an option which has no "real" value, only time value- in this case, you would end up with $1700 when you started with $2000. If you had simply bought and sold the stock without the option, you would have had $1800 left.
The other option is that you can ride it out, holding onto a stock that you would just like to get rid of, for the sake of the $100 option you don't want to buy back. If the stock does indeed go down, you would lose more.
When you enter a position, you have to realize that buying back the option early may cost you.
