Sigma is also called “standard deviation”. The number of sigmas is the confidence interval that something will (or will not) happen.
One sigma event has 32% chance to happen, two sigma is already 5% and three sigma event is rare enough to have only 0.3% chance to happen. Of course it makes sense only if the collected statistics is huge, so the case I’ll describe below is not strictly described by sigma as the history (number of data points) is limited.
Anyway, if someone will offer you $100 for accepting to be hit by the lightning with seven sigma chance you should take the money, as you have a bigger chance to be eaten by the lion escaped from zoo.
This is how twenty three sigma event looks like:
It’s CMBX-NA-AAA 3, the “AAA” rated credit default swap for commercial real estate.
You better stay home as the lion is waiting straight in front of your house