Let 0 < < 1. For a normally distributed variable, show that 100 (1 )%

Let 0 < α < 1. For a normally distributed variable, show that 100 (1 − α)% of all possible observations lie within zα/2 standard deviations to either side of the mean, that is, between μ − zα/2 · σ and μ + zα/2 · σ?