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Penn National Gaming Inc PENN

CONSUMER CYCLICAL · RESORTS & CASINOS
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Market dataready · fetched 2026-10-15T20:03:40.751Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-16

Calculation methodology

PriceAlpaca · sip · 2026-10-15T20:00:01.085968105Z

FundamentalsAlpha Vantage · quarter 2026-06-30 · fetched 2026-10-15T19:55:45.514517+00:00

Share price$15.21
1D+4.8%
AH$14.45$14.66$14.86$15.07$15.275:30 AM6:30 AM9:00 AM1:00 PM2:00 PMPENN
Sold putSold callAH

Penn National Gaming Inc options

Live interpolated PENN call and put midpoint premiums by absolute delta.Penn National Gaming Inc$0.05$1.42$2.80$4.18$5.55$12.12$13.72$15.32$16.92$18.5220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔATM · $15.21OPTION PRICELive PENN spot · $15.21PENN PRICE$0.37$0.37$0.36$0.36$0.35$0.35$0.34$0.34$0.33$0.33$1.08$2.27$3.45$0.37$0.28$0.19$0.24$0.86$1.47$2.09$2.70$3.31$3.93$4.54$5.16$2.42
PutsExpensive6.06×
CallsExpensive4.19×
SkewBullish-27.71 pp
Implied moveBearish±$2.43
TiltBearish45.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ22.32617.0%49.2%13.08383.2%16.4%
25Δ21.54557.9%44.0%13.76270.9%11.3%
30Δ20.76498.9%38.8%14.45158.5%6.3%
35Δ19.97439.8%33.7%15.1180.0%2.2%
40Δ19.19380.8%28.5%15.70141.9%2.4%
45Δ18.41321.7%23.3%16.29203.8%2.6%
50Δ17.63262.7%18.2%16.88265.7%2.8%
55Δ16.85203.6%13.0%17.46327.6%2.9%
60Δ16.07144.5%7.8%18.05389.5%3.1%
65Δ15.2885.5%2.6%18.64451.5%3.3%
70Δ14.27153.9%0.9%19.23513.4%3.5%
75Δ13.11295.3%1.1%19.81575.3%3.6%
80Δ11.96436.8%1.3%17.40276.8%1.5%

20Δ

Calls
Pseudo strike
22.32
IV
617.0%
B/E move
49.2%
Puts
Pseudo strike
13.08
IV
383.2%
B/E move
16.4%

25Δ

Calls
Pseudo strike
21.54
IV
557.9%
B/E move
44.0%
Puts
Pseudo strike
13.76
IV
270.9%
B/E move
11.3%

30Δ

Calls
Pseudo strike
20.76
IV
498.9%
B/E move
38.8%
Puts
Pseudo strike
14.45
IV
158.5%
B/E move
6.3%

35Δ

Calls
Pseudo strike
19.97
IV
439.8%
B/E move
33.7%
Puts
Pseudo strike
15.11
IV
80.0%
B/E move
2.2%

40Δ

Calls
Pseudo strike
19.19
IV
380.8%
B/E move
28.5%
Puts
Pseudo strike
15.70
IV
141.9%
B/E move
2.4%

45Δ

Calls
Pseudo strike
18.41
IV
321.7%
B/E move
23.3%
Puts
Pseudo strike
16.29
IV
203.8%
B/E move
2.6%

50Δ

Calls
Pseudo strike
17.63
IV
262.7%
B/E move
18.2%
Puts
Pseudo strike
16.88
IV
265.7%
B/E move
2.8%

55Δ

Calls
Pseudo strike
16.85
IV
203.6%
B/E move
13.0%
Puts
Pseudo strike
17.46
IV
327.6%
B/E move
2.9%

60Δ

Calls
Pseudo strike
16.07
IV
144.5%
B/E move
7.8%
Puts
Pseudo strike
18.05
IV
389.5%
B/E move
3.1%

65Δ

Calls
Pseudo strike
15.28
IV
85.5%
B/E move
2.6%
Puts
Pseudo strike
18.64
IV
451.5%
B/E move
3.3%

70Δ

Calls
Pseudo strike
14.27
IV
153.9%
B/E move
0.9%
Puts
Pseudo strike
19.23
IV
513.4%
B/E move
3.5%

75Δ

Calls
Pseudo strike
13.11
IV
295.3%
B/E move
1.1%
Puts
Pseudo strike
19.81
IV
575.3%
B/E move
3.6%

80Δ

Calls
Pseudo strike
11.96
IV
436.8%
B/E move
1.3%
Puts
Pseudo strike
17.40
IV
276.8%
B/E move
1.5%