On October 19, 1987, U.S. stock prices plunged 23%.Stock index futures were down 29%.In an 1996 Journal of Finance article, Professors Mark Rubinstein and Jens Jackwerth noted that this corresponded to a 27 standard deviation movean event tat would virtually never occur if stock returns were lognormally distributed (and annualized volatility 20% which it was before the market crash).There have been numerous days where the stock index has moved 6% or more.However, even a 6% change would correspond to a 5 standard deviation move and would be expected to occur only once every 14, 756 years.The above information suggests:

A.Although large moves are rare, stock returns are still (log)normally distributed.

B.Annualized volatility is likely several times higher than the 20% rate assumed.

C.Stock returns have more skewness but less kurtosis than a normal distribution

D.Both A and B

E.Stock returns have more kurtosis than a normal distribution.

I think the answer is D, but I don't know if this is a trick question and would love clarification!