Furthermore, to hedge index options by using the Black-Scholes "delta hedging" procedure (outlined in chapters 5 and 6) might well be insufficient if an index fell sharply: it might not be possible to adjust the hedge fast enough. In a Black-Scholes world there are no "jumps" no discontinuous price movements and no changes in volatility. 1987, however, taught options market makers that indices could go down effectively discontinuously while volatility could leap upward. If that happened, "delta hedging" would fail adequately to protect a market maker who had sold puts.

Donald MacKenzie, An Engine, Not a Camera, loc. 924