Investigations into the Pyramid wavefront sensor (P-WFS) have experimentally demonstrated the ability to achieve a better performance than with a standard Shack-Hartmann sensor (SH-WFS). Implementation on the Large Binocular Telescope (LBT) provided the first operational demonstration on a facility-class instrument of a P-WFS on sky. The desire to implement a Pyramid on an Extremely Large Telescope (ELT) requires further characterisation in order to optimise the performance and match our knowledge and understanding of other wave-front sensors (WFSs). Within the framework of the European Extremely Large Telescope (E-ELT), the Laboratoire d'Astrophysique de Marseille (LAM) is involved in the preparation of the Single Conjugate Adaptive Optics (SCAO) system of HARMONI, E-ELT's 1st light integral field spectrograph (IFU). The current baseline WFS for this adaptive optics system is a Pyramid WFS using a high speed and sensitive OCAM2 camera. At LAM we are currently carrying out laboratory demonstrations of a Pyramid-WFS, with the aim to fully characterise the behaviour of the Pyramid in terms of sensitivity and linear range. This will lead to a full operational procedure for the use of the Pyramid on-sky, assisting with current designs and future implementations. The final goal is to provide an on sky comparison between the Pyramid and Shack-Hartmann at Observatoire de la Côte d'Azur (OCA). Here we present our experimental setup and preliminary results.