This paper revisits the pricing of options, in a context of financial stress, when the underlying asset's returns displays skewness and excess kurtosis. For that purpose, we use a Cornish–Fisher transformation for valuing option contracts with an exact formula allowing for heavy‐tails. An application to the S&P 500 stock index option contracts is carried out during both stress (October 2008) and calm (May 2015) periods. It provides evidence about the capability of the Cornish–Fisher model to fairly price options during a period of stress without violating the skewness–kurtosis boundaries given its large domain of validity. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1194–1209, 2016