On April 6th of this year Shlomo Dado, Arnon Dar and I posted on the electronic archives (http://www.arXiv.org) the prediction that a supernova associated with a gamma ray burst (GRB) would be convincingly seen two days later. It was. This is the fourth time we have made a similar prediction (correctly, or I wouldn't talk about it). But this last time the supernova and its associated GRB are relatively close and have been observed particularly well. I shall answer the question posed in the title and elaborate on why we know that GRBs are made by supernovae.