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Penn National Gaming Inc PENN

CONSUMER CYCLICAL · RESORTS & CASINOS
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Market dataready · fetched 2026-10-16T00:17:39.393Z

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

Calculation methodology

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

FundamentalsAlpha Vantage · quarter 2026-06-30 · fetched 2026-10-16T00:17:38.907561+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$0.03$2.13$4.23$6.33$8.43$11.41$13.24$15.07$16.90$18.7320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive PENN spot · $15.21PENN PRICE$0.26$0.33$0.42$0.52$0.62$0.75$0.89$1.03$1.20$1.41$1.61$1.95$2.44$0.33$0.43$0.55$0.69$0.83$1.00$1.21$1.42$2.16$2.71$2.90$3.10$7.82
PutsExpensive1.18×
CallsFair0.99×
SkewBearish+13.16 pp
Implied moveBearish±$2.10
TiltBearish30.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ17.7651.5%18.4%13.3057.4%14.8%
25Δ17.1949.4%15.1%13.7755.0%12.3%
30Δ16.7749.0%13.0%14.1753.9%10.4%
35Δ16.4349.4%11.4%14.5054.1%9.2%
40Δ16.0949.7%9.9%14.8354.4%7.9%
45Δ15.7750.1%8.6%15.1754.8%6.8%
50Δ15.4650.4%7.5%15.5255.5%5.9%
55Δ15.1650.7%6.4%15.8656.1%5.0%
60Δ14.8451.2%5.5%16.6070.1%5.1%
65Δ14.5151.9%4.6%17.2276.3%4.7%
70Δ14.1852.5%3.8%17.5871.2%3.5%
75Δ13.7555.7%3.2%17.9466.1%2.4%
80Δ13.1862.1%2.7%22.58119.8%3.0%

20Δ

Calls
Pseudo strike
17.76
IV
51.5%
B/E move
18.4%
Puts
Pseudo strike
13.30
IV
57.4%
B/E move
14.8%

25Δ

Calls
Pseudo strike
17.19
IV
49.4%
B/E move
15.1%
Puts
Pseudo strike
13.77
IV
55.0%
B/E move
12.3%

30Δ

Calls
Pseudo strike
16.77
IV
49.0%
B/E move
13.0%
Puts
Pseudo strike
14.17
IV
53.9%
B/E move
10.4%

35Δ

Calls
Pseudo strike
16.43
IV
49.4%
B/E move
11.4%
Puts
Pseudo strike
14.50
IV
54.1%
B/E move
9.2%

40Δ

Calls
Pseudo strike
16.09
IV
49.7%
B/E move
9.9%
Puts
Pseudo strike
14.83
IV
54.4%
B/E move
7.9%

45Δ

Calls
Pseudo strike
15.77
IV
50.1%
B/E move
8.6%
Puts
Pseudo strike
15.17
IV
54.8%
B/E move
6.8%

50Δ

Calls
Pseudo strike
15.46
IV
50.4%
B/E move
7.5%
Puts
Pseudo strike
15.52
IV
55.5%
B/E move
5.9%

55Δ

Calls
Pseudo strike
15.16
IV
50.7%
B/E move
6.4%
Puts
Pseudo strike
15.86
IV
56.1%
B/E move
5.0%

60Δ

Calls
Pseudo strike
14.84
IV
51.2%
B/E move
5.5%
Puts
Pseudo strike
16.60
IV
70.1%
B/E move
5.1%

65Δ

Calls
Pseudo strike
14.51
IV
51.9%
B/E move
4.6%
Puts
Pseudo strike
17.22
IV
76.3%
B/E move
4.7%

70Δ

Calls
Pseudo strike
14.18
IV
52.5%
B/E move
3.8%
Puts
Pseudo strike
17.58
IV
71.2%
B/E move
3.5%

75Δ

Calls
Pseudo strike
13.75
IV
55.7%
B/E move
3.2%
Puts
Pseudo strike
17.94
IV
66.1%
B/E move
2.4%

80Δ

Calls
Pseudo strike
13.18
IV
62.1%
B/E move
2.7%
Puts
Pseudo strike
22.58
IV
119.8%
B/E move
3.0%