This experiment serves to demonstrate the exothermic chemical reaction between water (H20) and calcium oxide (CaO).
When water is added to calcium oxide lumps (quicklime), an exothermic reaction takes place. The heat produced is enough to fry an egg.
Quicklime or burnt-lime is a white, caustic, alkaline crystalline solid at room temperature. It is made by the thermal decomposition of calcium carbonate in a lime kiln. Calcination occurs at temperatures in excess of 825 °C liberating carbon dioxide gas in the process. When cooled, the quicklime will spontaneously react with CO2 and moisture from the air until, after enough time, it is completely converted back to calcium carbonate. That's the reason why it is the main component in cement, plaster and other construction materials.
In this exothermic reaction water was added to calcium oxide (CaO) to produce the hydrate calcium hydroxide [Ca(OH)2] and a large amount of heat (approx. temperature 150 °C) which can cook an egg in a few minutes.
CaO(s) + H2O → Ca(OH)2(s) + heat