It is common for people to overestimate their level of control and skill over games of chance. Psychological mechanisms could contribute to the illusion. People often believe they have more control over an outcome when they make an action or choice (e.g., choose their own lottery numbers). Thus, illusion of control is related to a sense of agency, which is our experience of control over our environment. One challenge has been to measure illusion of control. Many previous studies have examined subjective ratings, where people judge their confidence in winning or how much control they think they have. These ratings are prone to demand characteristics of the studies or memory biases. Fewer studies have used behavioural measures. To fully show that people have illusory control, it is necessary to show that they are willing to pay a cost to gain control over a chance outcome. This study developed a novel experimental task to test for illusory control and examined how illusory control related to sense of agency.