A large body of literature has investigated the factors that lead to abstention on the one hand or vote volatility on the other hand. We argue in this paper that the most fruitful approach is to simultaneously consider the exit, voice, and loyalty options. The analyses are based on data from the Comparative Study of Electoral Systems and cover a broad set of advanced democracies. We demonstrate that while party switchers and abstainers have a lot in common, switching parties can be considered a more positive choice. Most importantly, contrary to what previous research suggested and in contrast to abstainers, party switchers cannot be characterized as frustrated with politics. Furthermore, the supply side does to a certain extent affect whether voters choose to remain loyal, switch parties, or abstain from voting.