The seminal work of Black and Scholes, henceforth abbreviated B/S, established an effective pricing mechanism for contingent-claim securities based on assumed log normally distributed security returns. However, implied volatilities or IV’s systematically greater than their corresponding B/S volatilities for a cross-section of call options of similar maturity result in the well-known volatility “smile” or “smirk” that raises serious questions about the validity of the distributional assumptions underlying the B/S model. For example, the “crash-ophobia” phenomenon (Rubinstein ; Foresi and Wu ) alludes to the strong demand for out-of-the-money or OTM put options on the S&P 500 index to hedge against market crashes, resulting in price increases seen as implied volatility “smirks”. Bates looking at the 1987 market crash, states that OTM S&P 500 puts as crash insurance vehicles were unusually expensive relative to OTM calls. This high price could not be explained by standard option pricing models with positively skewed distributions, such as B/S, constant elasticity of variance or GARCH.