Could the COVID-19 related market crash and subsequent rebound be explained as a rational response to evolving conditions? Our results using multiple forward-looking measures of uncertainty implied from stock option prices suggest so. First, we find a gradual build-up of volatility during the month preceding the spike at the start of the pandemic. Second, while tail risk declined after government interventions, the level of uncertainty remained elevated for stocks across industries. Third, the dynamics of decline in tail risk in stocks was industry-dependent, suggesting that the market performed a fine-grained analysis of each stock's uncertainty through the pandemic.