My talk focuses on the Nobel Prize–winning work on option pricing by Black and Scholes, with key contributions from Merton. The talk is motivated by a widely shared screenshot of an investor claiming to have turned a $400 investment into one million dollars. Using this example, we will address two central questions:

– How did the market maker on the other side of this trade remain in business?

– To what extent, if at all, can such outcomes be systematically replicated?