Tail Risk The tails of a distributions are the low probability events which are say 3 standard deviations from the mean. If a certain tail has more probability than the normal distribution would suggest, it will be reflected in the shape of the skew. Moves in the skew or smile can show a change in the perceived tail risk in the market. Related articles Term Structure Time to Maturity GEX (Gamma Exposure) Explained: What It Is and How SpotGamma Uses It Put Open Interest Volatility Skew