diff --git a/lib/httpx/options.rb b/lib/httpx/options.rb
index 8b888436..8ce2c453 100644
--- a/lib/httpx/options.rb
+++ b/lib/httpx/options.rb
@@ -342,12 +342,11 @@ module HTTPX
       defaults.each do |k, v|
         next if v.nil?
 
-        begin
-          value = __send__(:"option_#{k}", v)
-          instance_variable_set(:"@#{k}", value)
-        rescue NoMethodError
-          raise Error, "unknown option: #{k}"
-        end
+        option_method_name = :"option_#{k}"
+        raise Error, "unknown option: #{k}" unless respond_to?(option_method_name)
+
+        value = __send__(option_method_name, v)
+        instance_variable_set(:"@#{k}", value)
       end
     end
   end
diff --git a/test/options_test.rb b/test/options_test.rb
index 50a477ac..db750062 100644
--- a/test/options_test.rb
+++ b/test/options_test.rb
@@ -10,6 +10,18 @@ class OptionsTest < Minitest::Test
     assert ex.message == "unknown option: foo", ex.message
   end
 
+  def test_options_no_method_error_during_validation
+    custom_opt_class = Class.new(Options) do
+      def option_foo(value)
+        raise TypeError, ":foo must be a Hash" unless value.is_a(Hash)
+
+        value
+      end
+    end
+    ex = assert_raises(NoMethodError) { custom_opt_class.new(foo: "bar") }
+    assert_match("undefined method `is_a'", ex.message)
+  end
+
   def test_options_body
     opt1 = Options.new
     assert opt1.body.nil?, "body shouldn't be set by default"