DiCaprio is going to "bare it all" in the new film that follows partying stockbroker Jordan Belfort, who went to prison for years after committing white-collar crimes.
The IMDB describes the movie thus: "A New York stockbroker refuses to cooperate in a large securities fraud case involving corruption on Wall Street, corporate banking world and mob infiltration."
The famed actor will be showing his goods on camera, according to the New York Daily News.
The paper's source said "there will be some pretty illicit sex scenes coming up. It involves four guys and two girls."
The film also includes graphic depictions of Belfort's addiction to cocaine and Quaaludes, and the Daily News' source said the actors are expected to make it look as real as possible.
"They are asking the actors to get comfortable with snorting baby laxative. They all have to indulge heavily in cocaine," their source said.
The flick started filming in New York City over the weekend; DiCaprio and co-star Jonah Hill were caught getting in touch with their characters by doing some research for their roles at Bank of America Merrill Lynch offices at One Bryant Park on Tuesday.
One of the bank employees revealed to the Daily News that DiCaprio followed one of BoA's employees around the bank and Hill worked with derivatives brokers.
Being nude in a movie isn't new for DiCaprio. He showed off his goods when he reunited with "Titanic" co-star Kate Winslet in 2008's "Revolutionary Road" directed by Sam Mendes, Winslet's husband at the time.
But the actor didn't feel uncomfortable with the potentially awkward situation because he had known Winslet before she met Mendes, according to a 2010 article from Esquire.
"So on the outside, it may seem strange to do a sex scene with a woman while her husband is directing. But it didn't feel that way to me," DiCaprio explained to the magazine.
"When the scene was about to start, Kate said, in front of the crew, 'Wait, wait, this is totally weird.' She turned to both Sam and I and said, 'Are you guys okay?' We both looked at each other and said, 'Yeah, we're totally fine.' she said. 'It's even weirder that you're both totally fine.'"