A naked (or “uncovered”) option is an Option sold without holding an offsetting position in the underlying asset. Selling a naked Call, for example, means you don’t already own the underlying shares — if the buyer exercises, you’d need to buy the shares at the current (potentially much higher) market price to deliver them, creating theoretically unlimited risk.
Related Reading
See the full risk profile of selling a naked Call, with a worked example, in How to Sell (Write) a Call Option: Risks and Rewards.