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With its intricate “mythology,” the ABC drama series Lost invites a wide range of religious interpretations. Starting off as a survivor drama, the show evolves into a fantastic epic, in which the pilot episode’s initial question “Where are we?” triggers reflections such as “where do we come from, where are we going, and what are we” and is finally passed on to the world religions. Against the backdrop of Tzvetan Todorov’s and Marianne Wünsch’s work on the fantastic, we translate literary scholar Wolfgang Iser’s aesthetic response theory into a tool for analyzing narrative structures of contemporary supernatural fiction. Taking storytelling and reception culture into account, this piece shows how Lost uses the enactment of religion(s) to perpetuate structural ambiguity concerning the series’ genre. We identify the narrative devices used to create generic indeterminacy both in content and form of the Lost narrative. With this ambiguity reverberating on the religious traditions referred to, Lost suggests the history of religions as an extradiegetic analogue of the literary fantastic.