A hypothesis for formation of bi-continuous phase structures in immiscible polymer blends is proposed. It is based on the observation that a critical volume fraction phi(cr) for the dual continuity of phases may be calculated considering the geometry of the dispersed phase. The knowledge of the form of discrete domains at the volume fractions phi < phi(cr) and the probability that two close neighbor domains will form a strongly fused connection are sufficient to calculate phi(cr). Furthermore, it can be predicted that phi(cr) should increase with stabilization of the interface. A comparative study showed that an addition of block: copolymer may narrow the volume fraction range where bi-continuous phase structures are formed. Both annealing in the molten state and shearing history influence the measured phi(cr) for the formation of bi-continuous phase structure in amorphous immiscible polymer blends.