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So in the movie Dunkirk, there's this scene where a fighter plane is shot by the enemy and is about to land in the sea. Now it's shown that the pilot Collins first opens the pad to eject his seat, but then later closes it and ensures that the plane lands in water safely (risking his life there).

Now the plane was over the sea where there weren't people whose life was at stake. So why didn't he simply eject his seat? Are there some air force code of conduct in such cases?

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Firstly, there were no ejection seats in British fighters during WWII so that would not have been an option.

In general, jumping involved, for the most part, inverting the aircraft (if you can) and falling out. (see link below)...but it was often a difficult and dangerous operation.

Secondly, parachuting into the English Channel risked almost certain death from exposure & hypothermia.

A far better option was "ditching", essentially a controlled crash, "landing" the aircraft on water. The fighters in question would often float for a few minutes being constructed mainly from wood although the weight of the engines would soon nosedive the aircraft under the surface.

See this extract from Strategic Bombing by the United States in World War II: The Myths and the Facts which deals with bombers but is still highly relevant.

Nevertheless...

Most meetings with the inhospitable waters of the Channel or North Sea began on the end of a parachute....

...trembling hands then had to find the tube to blow up the life jacket...

...Those with the strength then swam towards the shore if they knew where it was, the rest just floated and waited. They had about four hours before hypothermia set in.

The Most Dangerous Enemy: A History of the Battle of Britain

I'll also link in a similar Q&A which also involves landing/crashing vs. parachuting from the same movie which is highly relevant.

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