You're the head of investments at a production company in Buenos Aires. A studio offers you, upfront, the rights to make the sequels to all of its movies for next year. None has been released yet. Your finance team says the net value is zero: on average, a sequel costs to produce what it earns. But you're not buying a sequel. You're buying the right to decide, movie by movie, once you know which ones were hits.
The situation
Making a sequel will cost US$25M. Its box-office take is highly uncertain: the sequel to a blockbuster earns a lot; the sequel to a flop, almost nothing. On average, it earns about US$25M —which is why committing to produce them all has a net value ≈ zero—. But you're not committing to produce them all: you have the right, not the obligation. You'll only make the sequels to the hits and let the ones for the flops die.
That asymmetry —capture the upside, abandon the downside— is exactly an option. And here's the counterintuitive part: the MORE uncertainty there is, the MORE the right is worth. If every movie earned the same, the right would be worth nothing above its NPV. It's the dispersion of outcomes that makes the ability to choose later valuable. Intuition says "too uncertain, better pass"; option logic says the opposite.