Kurtosis is a measure of the peakedness of a distribution. In other words it measure if outcomes produce a “tall and skinny with thin tails” or “short and squat with fat tail” curve. In trader talk … a high Kurtosis suggests that more Standard Deviation risk is coming from the extremes (fat tails). Trader might look for high Kurtosis markets expecting to see profits come from strong trends.
Monthly Kurtosis Breakdown
Used generally in the statistical field, kurtosis describes trends in charts. A high kurtosis portrays a chart with fat tails and a low, even distribution, whereas a low kurtosis portrays a chart with skinny tails and a distribution concentrated toward the mean. – Investopedia