The econometrician David Bates concludes that "the substantial negative skewness and leptokurtosis16 implicit in actively traded short-maturity option prices appear fundamentally inconsistent with an absence of large weekly movements in S&P 500 futures returns over 1988-93" (Bates 2000, p. 227). "The parameter values necessary to match the smirk [skew] in S&P 500 futures options appear inconsistent with the time series properties of the stock index futures and of option prices" (Bates 2003, p. 399).

Donald MacKenzie, An Engine, Not a Camera, loc. 911