We investigate how aggregate IPO filing volume responds to changes in stock market volatility. The filing volume we study consists of all non-financial firms that filed with the SEC between 1984 and 2004. Controlling for factors shown to impact primary market activity, notably stock market returns, we find filing volume to be positively related to changes in market volatility, and the relation is especially pronounced when stock market return is at, normal levels, i.e. neither too high nor too low. The relation also holds at the industry level, in a pooled time-series cross-industry regression context. The relation is more pronounced for IPO filings in, new industries (computers, software, electronic equipment, and telecommunications) relative to traditional industries. These results are consistent with the hypothesis that the ability to discover investor valuations before deciding to sell shares gives firms filing with the SEC an, option on the uncertain offer price. This option has value not only in a strong stock market but also in a volatile market. Furthermore, option theory implies that the marginal effect of volatility is highest in normal stock markets. We therefore find evidence in support of a distinct type of, window of opportunity for firms attempting to go public, one that is characterized not by a strong stock market but rather by increased market volatility.