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 “fatness” 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.
