Kurtosis is a statistical measure that goes beyond traditional implied volatility and skew to offer deeper insights into the probability of extreme price moves.

By analyzing Kurtosis, traders can assess the β€œfatness” of the tails in a probability distribution, which indicates the likelihood of significant market swings. Higher kurtosis suggests a higher probability of extreme events, making it a crucial tool for options traders looking to manage tail risk effectively.

Menthor Q’s guide on Kurtosis explains the different types of distributions and how they relate to market risk.