The scenario describes a "volatility smile," which is typical in FX options markets. A volatility smile means that implied volatility increases for both deep out-of-the-money (OTM) and deep in-the-money (ITM) options compared to at-the-money (ATM) options. In terms of probability distributions, higher market prices for deep OTM puts (due to higher implied volatility) imply that the market is pricing in a higher probability of extreme downward movements, resulting in a heavier left tail. Similarly, higher market prices for deep OTM calls imply a higher probability of extreme upward movements, resulting in a heavier right tail. Thus, the implied distribution has heavier tails on both sides compared to the lognormal distribution assumed by the standard Black-Scholes-Merton model.