Should I take a loss on my naked call now?

Did you also look at rolling it out/up and can still collect a premium? If so, perhaps you get lucky and may eventually get out without a loss?

It really depends on your view of the underlying and if eventually your view is correct.
 
Stick with your decision that was made when you put it on. You have some cognitive biases messing with your mind. Rolling it into a spread can greatly reduce your exposure. Vertical, horizontal or ratio spreads.
 
Trade Theory said:
I would close the trade as a loss but at the same time I absolutely hate selling premium so I wouldn’t have placed the trade to begin with. My guess is you’re over allocated. So if you decide to leave it on you need to make sure you understand what’s at risk and analyze the situation your in.

Here are the facts of your trade right now:
  • BA has their earnings report on 1/29. BA usually moves 10-15 points on earnings but has also been known to gap 25+ points at times
  • You're -20 delta and the big risk here is -1.94 gamma. With that as the price of BA starts moving closer to your short call, your delta will be going more negative at a quicker pace. The value of the call increases exponentially amplifying your loss.
  • You're collecting $46 theta a day which should get you out of the hole on this trade as time progresses. I suspect is not accurate as implied vol won't back down very much until after the earnings announcement.
  • If BA has a 2 sigma move to the upside on earnings, you will be down around $1300 per contract at expiration
  • If BA stays within its implied volatility range (the more likely case), your trade will expire worthless and you'll keep the .57 initial premium.
Based on the current implied volatility, the market believes we're going to move $16.84 between now and expiration. BA is at 323 right now, add the expected move of $16.84 and you're almost exactly at your 340 call. This tells you your trade will be a $57 winner 68% of the time (one standard deviation).

Look at the PnL on the price slices on 1 and 2 standard deviation moves:
View attachment 217670
If it were me, I'd get out of the trade while I still can. This may be decent if the earnings report wasn't coming up due to how far OTM your call is. But BA has had a lot of negative news lately so there's a possibility positive news on their 737 Max could could gap the stock up. If this happens your account value would plummet just like their planes. Too soon?

tl;dr - the juice ain't worth the squeeze.
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Thanks for such great analysis! I agree with you. I over allocated, I knew it was bad to sell premium before earning, my original plan was to bet BA will stay around 300 before earning. Now it's very different. Since we have so many bad news today, hopefully, tomorrow BA will sell off at open, then I will get it out, no matter how, I don't plan to stay in the trade after earning.
 
Took the loss today at 1.04$. Not too bad, considering it was once over 3.00$ last Friday. Although my original plan my still work based on today market's situation, it's really a bad trade. Any whipsaw towards the long side, I will get burned really bad. I should always have a defined risk before entering a trade, especially for option.
 
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