Numerous methods for crafting adversarial examples were proposed recently with high success rate. Most existing works normalize images into a continuous, real vector, domain firstly, and then craft adversarial examples in this domain. However, "adversarial" examples may become benign after de-normalizing them back into the discrete integer domain, known as the discretization problem. The discretization problem was mentioned in some work, but was underestimated and has received relatively little attention. In this work, we conduct the first comprehensive study of the discretization problem. We theoretically analyze 34 representative methods and empirically study 20 representative open source tools for crafting adversarial images. Our study reveals that almost all existing works suffer from the discretization problem and it is far more serious than originally thought. For instance, most black-box methods downgrade to white-box ones and methods having higher success rates drop down to lower high success rates, e.g., from 100% to 10%. This suggests that the discretization problem should be taken into account when crafting adversarial examples. As a first step towards addressing this problem, we propose a black-box method which reduces the adversarial example searching problem to a derivative-free optimization problem. Our method is able to craft `real' adversarial images by derivative-free search on the discrete integer domain. Experimental results show that our method achieves significantly higher success rate in terms of adversarial examples in the discrete integer domain than most other methods, no matter white-box or black-box. Moreover, our method is able to handle models that is non-differentiable and we successfully break the winner of NIPS 17 competition on defense with 95% success rate.