The interaction between real options and financial hedging is analyzed empirically. A majority of Danish non-financial companies either (1) chooses at times not to hedge an exchange rate operating exposure financially due to the possibility of the company to react to changes in exchange rates by undertaking real actions (exercising real options) such as to abandon a market or establish production in a foreign country or (2) thinks it is likely that they will actually react to changes in exchange rates by undertaking such real actions. The role of real options in actual management of exchange rate exposures depends on the economic sector in which the company operates and the size of the company. Companies in Materials (and Consumer Discretionary) are significantly more inclined to undertake various real actions than is the case with companies in Industrials. The same holds for small and large companies as compared to medium-sized companies.