The notion of opportunity, as currently discussed in entrepreneurship research, is theoretically exciting but empirically elusive. This article seeks to stimulate a new conversation about entrepreneurial opportunities by distinguishing two conceptions of entrepreneurial behavior-formal and substantive-and situating the construct of opportunity within the latter. It discusses three substantive premises for studying opportunities empirically: (1) opportunity as happening; (2) opportunity as expressed in actions; and (3) opportunity as instituted in market structures. These premises stimulate research questions that can invigorate and expand the study of entrepreneurial opportunities. They invite a continuous dialogue between qualitative and quantitative methodologies in behalf of understanding how opportunities emerge and evolve at the level of individual entrepreneurs.