The correct answer is B. For a foreign currency option, the implied distribution gives a relatively high price for the option. The implied volatility is relatively low for at-the-money options, but it becomes higher as the option moves either in-the-money or out-of-the-money. Thus, the implied distribution has heavier tails than the lognormal distribution. This means that compared to a lognormal distribution with the same mean and standard deviation, the distribution of option prices implied by the Black-Scholes-Merton model for this foreign currency would have a heavier left tail and a heavier right tail. This phenomenon is often referred to as a "volatility smile," where the implied volatility is not constant across different strike prices but varies in a way that resembles a smile or skew. The explanation is supported by the reference to John Hull's book, "Options, Futures, and Other Derivatives," which discusses volatility smiles in the context of option pricing and market risk management.