An Option can be created in a variety of ways. The most straightforward, though not recommended, is to use the constructor of the case class or to return None directly:

val opt1 = None
val opt2 = Some("Option")

This is not recommended because it is absolutely possible to return null wrapped in Option again, thus defeating the purpose of it: 

val opt3 = Some(null)

Because of this, we need to check whether the constructor argument is null first:

def opt4[A](a: A): Option[A] = if (a == null) None else Some(a)

In fact, this pattern is so common that the Option companion object provides the corresponding constructor:

def opt5[A](a: A): Option[A] = Option(a)

The companion object defines a few more constructors which allow you to refrain from direct use of Some or None altogether:

val empty = Option.empty[String]
val temperature: Int = 26
def readExactTemperature: Int = 26.3425 // slow and expensive method call
val temp1 = Option.when(temperature > 45)(readExactTemperature)
val temp2 = Option.unless(temperature < 45)(readExactTemperature)

The first constructor creates the type None, and the second and third return Some, but only if the condition is true or false, respectively. The second argument is a by-name parameter and is only calculated if the condition holds.