We often hear the word Kurtosis on X or when people are talking about options and probabilities. This article will help us understand this concept. Will explain what the three different Kurtosis are, and the relationship with implied volatility. The gamma distribution of an option price or asset in normal conditions is represented by a Gauss curve (normal distribution) as represented here. Breaking it down Inside 3 standard deviations, the move is easy to predict and price with the conventional tools, however once we move further up in standard deviations, we end up being in the โ€œtails” of the distribution, which are harder to predict and price, when an asset is being analyzed. What is Kurtosis? One can look at the implied volatility and the skew structure, but given the occurrence of such a move is less the norm, another measure needs to be used, the so-called kurtosis, or โ€œfatnessโ€ of the tails,  useful for the purchase of crash puts or melt up cal…