The value of real options has been discussed extensively—it helps explain managerial decisions in designing the rollout of bold initiatives in uncertain environments. However, few studies directly trace the impact of option usage on the performance of such entrepreneurial initiatives. Do all firms benefit from the flexibility that options confer? To answer this question, I collected detailed survey data on individual options designed into the implementation plans of entrepreneurial initiatives, focusing exclusively on options that were, eventually, in the money. The sample observations display significant variation in the degree to which flexibility benefit was realized from options, if at all. I find that this variance stems, in part, from heterogeneous organizational capability, regarding not only option creation but also option maintenance, exercise, and governance. These results imply that attainable benefit is highly firm specific. Holding valuable options does not predict performance of entrepreneurial initiatives, unless it is accompanied by active management of the option life cycle. Copyright © 2012 Strategic Management Society.