This is the answer I got from Microsoft...
Sorry about the inconvenience. There unfortunately isn’t a GUI way to enable option strict, but you can enable it by copying and pasting this statement into your application’s web.config file (it should go immediately underneath the root <configuration> element:
<system.codedom>
<compilers>
<compiler compilerOptions ="/optionexplicit+ /optionstrict+" language="vb;vbs;visualbasic;vbscript" extension=".vb" type="Microsoft.VisualBasic.VBCodeProvider, System, Version=2.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089" />
</compilers>
</system.codedom>
This will then enable option strict for both code-behind and your app_code directory.
Hope this helps,
Scott