Presence is one of the main factor conditioning the user-experience in virtual reality (VR). It corresponds to the illusion of being physically located in a virtual environment. Presence is usually measured subjectively through questionnaires. However, questionnaires cannot be filled in when the user is experiencing presence, as it would disrupt the feeling. The use of electroencephalography (EEG) to monitor users while they are immersed in VR presents an opportunity to bridge this gap and assess presence continuously. This study aims at investigating whether different levels of presence can be distinguished from EEG signals.