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Black Scholes Turns 50
Alpha Exchange
The Stock Market's Fat Tails
A three-month 10% OTM call has a vol of just 11. The ten-ball spread between the OTM put-and-call is not part of the theoretical world of black shoals. So improbable is such an event that it would not be anticipated to occur even if the stock market were to last for 20 billion years.
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