Naked options are thought to have undefined risk. However, we know that an underlying can only go to zero so naked puts technically have a max loss. Since underlyings can go up indefinitely, do naked calls really have a max loss? Today, Tom Sosnoff and Tony Battista take a look at what this undefined risk really means. Using a 2 standard deviation move, they would expect the underlying to close outside of those strikes 5% of the time. However after looking at over 6,000 occurrences, they find that the SPX actually only moves outside of those strikes .95% of the time. For this reason, we can put a lot of context around our "max loss" when trading naked calls!