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PENN Entertainment, Inc. Common Stock PENN

i

Market dataready · fetched 2026-11-07T16:16:37.659Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-06T22:43:24.380572939Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-07T16:16:37.002495+00:00

Share price$17.30
1D+3.3%
AH$16.48$16.73$16.99$17.25$17.505:30 AM6:30 AM9:00 AM1:00 PM2:00 PMPENN
Sold putSold callAH

PENN Entertainment, Inc. Common Stock options

Live interpolated PENN call and put midpoint premiums by absolute delta.PENN Entertainment, Inc. Common Stock$0.20$0.85$1.50$2.15$2.80$13.53$15.41$17.29$19.17$21.0620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive PENN spot · $17.30PENN PRICE$0.27$0.35$0.42$0.52$0.64$0.76$0.88$1.04$1.31$1.57$1.95$2.62$0.42$0.50$0.59$0.71$0.83$0.95$2.40$2.46$2.52
Puts——
Calls——
Skew——
Implied moveBullish±$1.47
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ14.98102.9%15.8%
25Δ18.7556.3%9.9%15.5893.5%12.8%
30Δ18.4756.8%8.7%
35Δ18.1957.4%7.6%
40Δ17.9258.1%6.6%
45Δ17.6759.2%5.8%17.2148.6%4.0%
50Δ17.4360.3%5.1%17.4148.8%3.5%
55Δ17.1861.4%4.4%17.6249.1%3.0%
60Δ16.9163.4%3.8%17.8349.4%2.4%
65Δ16.5767.9%3.3%
70Δ16.2472.4%2.9%19.1590.9%3.2%
75Δ15.7980.5%2.5%19.3281.7%2.6%
80Δ15.0996.9%2.3%19.4972.5%1.9%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
14.98
IV
102.9%
B/E move
15.8%

25Δ

Calls
Pseudo strike
18.75
IV
56.3%
B/E move
9.9%
Puts
Pseudo strike
15.58
IV
93.5%
B/E move
12.8%

30Δ

Calls
Pseudo strike
18.47
IV
56.8%
B/E move
8.7%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
18.19
IV
57.4%
B/E move
7.6%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
17.92
IV
58.1%
B/E move
6.6%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
17.67
IV
59.2%
B/E move
5.8%
Puts
Pseudo strike
17.21
IV
48.6%
B/E move
4.0%

50Δ

Calls
Pseudo strike
17.43
IV
60.3%
B/E move
5.1%
Puts
Pseudo strike
17.41
IV
48.8%
B/E move
3.5%

55Δ

Calls
Pseudo strike
17.18
IV
61.4%
B/E move
4.4%
Puts
Pseudo strike
17.62
IV
49.1%
B/E move
3.0%

60Δ

Calls
Pseudo strike
16.91
IV
63.4%
B/E move
3.8%
Puts
Pseudo strike
17.83
IV
49.4%
B/E move
2.4%

65Δ

Calls
Pseudo strike
16.57
IV
67.9%
B/E move
3.3%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
16.24
IV
72.4%
B/E move
2.9%
Puts
Pseudo strike
19.15
IV
90.9%
B/E move
3.2%

75Δ

Calls
Pseudo strike
15.79
IV
80.5%
B/E move
2.5%
Puts
Pseudo strike
19.32
IV
81.7%
B/E move
2.6%

80Δ

Calls
Pseudo strike
15.09
IV
96.9%
B/E move
2.3%
Puts
Pseudo strike
19.49
IV
72.5%
B/E move
1.9%

Options history

IV · four-Friday blend52.79%
Daily close
PENN35.0%58.8%82.6%2026-08-10: 43.21%2026-08-11: 43.24%2026-08-12: 44.37%2026-08-13: 46.36%2026-08-14: 44.55%2026-08-17: 47.68%2026-08-21: 41.92%2026-08-24: 41.03%2026-08-25: 41.79%2026-08-26: 45.32%2026-08-27: 38.30%2026-08-28: 42.43%2026-08-31: 41.66%2026-09-01: 41.89%2026-09-02: 45.42%2026-09-03: 43.44%2026-09-04: 42.63%2026-09-08: 48.29%2026-09-09: 45.79%2026-09-10: 45.09%2026-09-11: 41.54%2026-09-14: 57.42%2026-09-15: 52.97%2026-09-16: 79.31%2026-09-18: 43.74%2026-09-21: 45.06%2026-09-22: 46.90%2026-09-23: 50.56%2026-09-24: 50.15%2026-09-25: 48.94%2026-09-28: 49.02%2026-09-29: 49.36%2026-09-30: 51.36%2026-10-01: 50.98%2026-10-02: 51.49%2026-10-05: 54.04%2026-10-06: 50.35%2026-10-07: 48.72%2026-10-08: 49.89%2026-10-09: 49.43%2026-10-12: 54.63%2026-10-16: 51.62%2026-10-19: 49.88%2026-10-20: 52.94%2026-10-21: 51.36%2026-10-22: 48.33%2026-10-23: 53.79%2026-10-26: 52.33%2026-10-27: 54.25%2026-10-28: 50.85%2026-10-29: 52.51%2026-10-30: 52.79%Aug 10Sep 21Oct 30
52 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
43.21%
43.24%
44.37%
46.36%
44.55%
47.68%
41.92%
41.03%
41.79%
45.32%
38.30%
42.43%
41.66%
41.89%
45.42%
43.44%
42.63%
48.29%
45.79%
45.09%
41.54%
57.42%
52.97%
79.31%
43.74%
45.06%
46.90%
50.56%
50.15%
48.94%
49.02%
49.36%
51.36%
50.98%
51.49%
54.04%
50.35%
48.72%
49.89%
49.43%
54.63%
51.62%
49.88%
52.94%
51.36%
48.33%
53.79%
52.33%
54.25%
50.85%
52.51%
52.79%