PENN Entertainment, Inc. (PENN)
Overview · Option chain · Volatility · Expected-move history · Earnings
Cboe delayed options data · as of 00:36 UTC · Figures derived from the full chain (216 contracts, 5 expirations) · IV own-history percentile appears after 60 recorded days (3 so far)
Expected move — Sep 18, 2026 (16 days)
Methodology →Read from option prices: the at-the-money straddle costs this much, so the market is pricing a move of about that size in either direction by this date. It is an estimate of movement, not a prediction of direction.
Options are pricing a move of about ±6.4% (range 15.74–17.89) by Sep 18, 2026. ATM straddle: 1.07 @ strike 17 · ATM IV: 37.2%.
Probability distribution
Model & assumptions →The curve shows where a lognormal model, fed with current implied volatility, puts the range of outcomes at this expiration. Shaded: the expected-move band.
| Level | vs price | P(above)Model-estimated chance the stock finishes above a level at expiration, derived from current IV under a lognormal model with stated assumptions — an estimate, not a prediction. | P(below) |
|---|---|---|---|
| 15.14 | -10% | 90.5% | 9.5% |
| 15.98 | -5% | 73.2% | 26.8% |
| 16.82 | +0% | 48.4% | 51.6% |
| 17.66 | +5% | 25.3% | 74.7% |
| 18.50 | +10% | 10.3% | 89.7% |
Model-estimated probabilities of finishing above/below each level at expiration — estimates under stated assumptions, not predictions.
Probability explorer
Drag the slider to any level and see the model-estimated chance the stock finishes above or below it at the selected expiration.
Horizon: Sep 18, 2026 · lognormal model, zero drift — an estimate, not a prediction. Assumptions
Expirations
Open the chain →| Expires | DTEDays to expiration, in calendar days. | Implied move | ATM IV | Open int. |
|---|---|---|---|---|
| Sep 18, 2026 | 16 | ±6.4% | 37.2% | 20.5K |
| Oct 16, 2026 | 44 | ±12.0% | 43.1% | 5,648 |
| Jan 15, 2027 | 135 | ±23.5% | 47.7% | 22.3K |
Open interest by strike — Sep 18
Where option positions are concentrated. Teal bars are calls, red bars are puts; the dashed line is the current price.
Largest open-interest concentrations (all expirations ≤ 60 days): 16 C · 5,68320 C · 2,02317 C · 1,90617 P · 1,65823 C · 1,638
IV term structure
Volatility page →At-the-money implied volatility for each expiration. A hump around a date often marks a scheduled event the market is pricing.
When does open interest expire?
Implied vs realized volatility
HV from our stored daily closes (annualized); IV30 interpolated from the chain. Method
Price, last 60 sessions
Track record
Full history →Every trading day we record what the options market is pricing for each expiration — before the outcome is known. Once expirations start resolving, this section compares expected versus actual, and the record is never rewritten. Recording since Aug 31, 2026.
Past earnings reactions
Avg |reaction| 8.4% · median 6.6% (20 reports) — two-session close-to-close window; definition
About PENN Entertainment, Inc.
PENN Entertainment, Inc., along with its various subsidiaries, offers a comprehensive range of entertainment, sports media, and casino gaming services across North America. Its operations are segmented into five distinct divisions: Northeast, South, West, Midwest, and Interactive. The firm manages 44 physical venues across 20 U.S. states, alongside offering online sports wagering in 13 regions and iCasino services in five, all united under a diverse brand umbrella that includes names like Hollywood Casino, L'Auberge, Barstool Sportsbook, and theScore Bet. Previously known as Penn National Gaming, Inc., the corporation adopted its current name, PENN Entertainment, Inc., in August 2022. Established in 1972, PENN Entertainment, Inc. maintains its headquarters in Wyomissing, Pennsylvania.
Consumer Cyclical · Gambling, Resorts & Casinos · NASDAQ · Profile: Financial Modeling Prep
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