Naturally, the selection choice is somewhat subjective, but I do think a couple of these have slightly more going for them than others.
Were I to be stranded on a dessert island and could only take 1 or 2 covered calls to the island with me, I'd probably go for UNG and JCP . Why? They are the most liquid underlyings of the bunch, which at least partially insures a fairer price for my setup than the other plays; bid/ask spreads are wider in the others, which potentially makes getting fills at the mid price more of a headache. UNG and JCP also offer weeklies, which offer a little bit of more flexibility in terms of rolling my short call (although this is not the kind of deal breaker it is when I'm doing short strangles, where I really want to have those weeklies to do short-term rolls with if I need to).
Were I to have to rank the plays, it would be a close call between GPRO and HUN, after the UNG and JCP plays.
GPRO's not as liquid as UNG and JCP ; then again, its liquidity isn't terrible, it offers weeklies, and has quite a bit of in it such that the premium received for the short call is fairly rich (in fact, its IV is higher than in UNG , JCP , or HUN), but a potential downside is that I'd have to devote about $1700 in buying power to the trade (100 GPRO at 18.22; Feb 19th 19 short call) and that might of concern to smaller account holders.
HUN has better liquidity than GPRO , but no weeklies, but it's also cheaper than GPRO , so ties up less buying power.
MW is the least liquid of the bunch and has no monthlies ... .
The other factor that you might want to look at is correlation. For example, I've already got a long natural gas play on via CHK . Do I really want to increase my exposure to natural gas?
All of these factors -- liquidity, availability of weeklies, current implied volatiity, correlation, buying power -- should be evaluated in considering which plays to go with ... .