The implied volatility embodied in option prices has generally been attributed to errors in the Black-Scholes model, specifically the assumption of constant volatility or the assumption of log-normal returns. In other words, the presumption is that, if the implied volatilities were calculated correctly, the would disappear. This has led to the development of a plethora of what might be termed smile consistent option pricing models, models which generate option prices with smiling B-S implied volatilities when the true (or correctly calculated) is flat. In this paper, we test and reject the hypothesis that the in stock index option prices is wholly due to inappropriate distributional assumptions by the Black-Scholes option pricing model. If the true is flat, then a trading strategy in which one buys options at the bottom of the incorrect Black-Scholes and sells options at the top(s) should not be profitable even on a pre-transaction-cost basis. However, we find that such a strategy is quite profitable. Moreover the profits vary in line with the Black-Scholes model's predictions while they should not if the true is flat. Our calculations suggest that roughly half of the observed in the stock index options market is due to a in the true implied volatilities while about half is due to a difference between the Black-Scholes implied volatilities and the true implied volatilities. We argue that the true persists despite these substantial pre-transaction-cost trading profits, because maintaining the trading portfolio's low risk profile requires frequent re-balancing which quickly eats away the profits. While the trading portfolios are constructed to be both delta and gamma neutral, they quickly lose these properties as the underlying price changes necessitating frequent re-balancing. With daily or more frequent re-balancing, the trading portfolios are not profitable on a post-transaction-cost basis. Consequently, the is not evidence of market inefficiency.