There is little doubt that the 1987 crash is the event that separates the second and third phases of the history of option pricing, and there appears to be econometric consensus. No analysis now finds the Black-Scholes-Merton model to fit the observed pattern of prices of options well; all find a volatility skew that is variable in nature but, in general, has in the case of options on stock indices roughly the same pattern as in the lower graph in figure 7.1; and the skew is evident both in the index options traded on the Chicago Board Options Exchange and in the options on index futures traded on the Chicago Mercantile Exchange.

Donald MacKenzie, An Engine, Not a Camera, loc. 904