We study professional tennis players decisions of whether to challenge umpires calls using data on over 2,000 challenges in 35 tennis tournaments. The decision to challenge, which is simple to characterize, trades off reversing the umpires call against losing subsequent challenge opportunities. Qualitatively, players are more likely to challenge when the stakes are greater and when the option value of challenging is lower, as theory predicts. Quantitatively, players actual behavior is close to an optimal challenging strategy prescribed by a simple dynamic model. Our findings illustrate that professional decision makers develop decision rules that can approximate optimal behavior quite well.