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 Linear Stock Payoff VIX Ref How do I interpret the Skew chart in Equity Hub™? Highest Put/Call Ratio Equity Hub™ Scanner