What is 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. Interested in learning more? Related articles What is Gamma, Market Gamma and/or Total Market Gamma? What is Term Structure? What is a Linear Stock Payoff? What is the Rule of 16? What is VIX Ref?