Strategic management and marketing research has shown that market orientation and organizational learning can each separately enable small‐ and medium‐size enterprises (SMEs) achieve competitive advantage. The literature is less clear, however, on how the joining of those capabilities might help SMEs not only edge out their competition but also sustain their advantage over time and under varying conditions. Consideration of six propositions grounded in previous studies highlights the role that real options reasoning can play to increase market orientation and organizational learning, consequently providing a firm with the ability to both attain and sustain competitive advantage, particularly in a volatile environment. © 2015 Wiley Periodicals, Inc.