diff --git a/pandas/_config/config.py b/pandas/_config/config.py
index a78a50138d195..6d9e2a69abf47 100644
--- a/pandas/_config/config.py
+++ b/pandas/_config/config.py
@@ -503,6 +503,7 @@ def option_context(*args) -> Generator[None]:
         )
 
     ops = tuple(zip(args[::2], args[1::2], strict=True))
+    undo: tuple[tuple[Any, Any], ...] = ()
     try:
         undo = tuple((pat, get_option(pat)) for pat, val in ops)
         for pat, val in ops:
diff --git a/pandas/tests/config/test_config.py b/pandas/tests/config/test_config.py
index b704d4a2c6472..9be1bc5554dc7 100644
--- a/pandas/tests/config/test_config.py
+++ b/pandas/tests/config/test_config.py
@@ -491,3 +491,9 @@ def test_no_silent_downcasting_deprecated():
         cf.get_option("future.no_silent_downcasting")
     with tm.assert_produces_warning(Pandas4Warning, match="is deprecated"):
         cf.set_option("future.no_silent_downcasting", True)
+
+
+def test_option_context_invalid_option():
+    with pytest.raises(OptionError, match="No such keys"):
+        with cf.option_context("invalid", True):
+            pass