Margot Robbie opened up in a new interview about her family's reaction to her nude scene from The Wolf of Wall Street, Margot Robbie has lifted the lid on what it was like to film a sex scene in front of 30 male crew. The Wolf of Wall Street in the near future. WOLF OF WALL STREET'S MARGOT ROBBIE: My Character Had To Be Naked Because That Was Her Only Currency. The Wolf of Wall Street in the industry, Margot Robbie was thrilled to score a leading role in film with Leonardo DiCaprio. Before she headed to the UK premiere of her family fairly upset, especially after she lied to them.