On the one hand, Mishnah Challah 2:3 permits a woman to recite a blessing to perform a mitzvah naked, so long as her genitalia are covered (as by sitting). On the other hand, the Talmud, Yoma 47a, suggests that a woman never exposing a single hair even within her own home is praiseworthy.
In practice, the Shulchan Aruch Orach Chayyim 2:1-2 presents painstaking modesty in private as an ideal. This is usually taken as pious custom and not as a binding obligation.