I will attempt to show that high sigma is a much more frequent event than modern finance thinks it is. A few examples using the Dow Industrials back to 1885 on a daily basis are shown. Each begins with determining a look-back period to determine the average daily return and the standard deviation, and then a look-forward period is determined to see if the look-back data continues into the look-forward data. Figure A is an attempt to help visualize this process. A look-back period is determined (in-sample data) and a look-forward period is also determined (out-of-sample data). The look-back period is used to determine the average daily return and the standard deviation of returns. From that data, a range of three sigma about the mean is determined. Then in the look-forward data, the number of daily returns outside the +/- three sigma band are tallied with the total being displaying as a plot; any point on the plot represents the data used in the look-back and the look-forward periods.