PENN Entertainment, Inc. (PENN)
Overview · Option chain · Volatility · Expected-move history · Earnings
Cboe delayed options data · as of 09:41 UTC · Figures derived from the full chain (202 contracts, 6 expirations) · IV own-history percentile appears after 60 recorded days (28 so far)
Expected move · Nov 20, 2026 (32 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 ±13.2% (range 12.96–16.91) by Nov 20, 2026. ATM straddle: 1.98 @ strike 15 · ATM IV: 53.4%.
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) |
|---|---|---|---|
| 13.45 | -10% | 72.1% | 27.9% |
| 14.19 | -5% | 59.7% | 40.3% |
| 14.94 | +0% | 46.9% | 53.1% |
| 15.69 | +5% | 34.9% | 65.1% |
| 16.43 | +10% | 24.8% | 75.2% |
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: Nov 20, 2026 · lognormal model with 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. |
|---|---|---|---|---|
| Nov 20, 2026 | 32 | ±13.2% | 53.4% | 2,917 |
| Dec 18, 2026 | 60 | ±17.1% | 51.4% | 7 |
| Jan 15, 2027 | 88 | ±24.9% | 62.5% | 23.2K |
| Apr 16, 2027 | 179 | ±25.3% | 44.7% | 1,895 |
Open interest by strike · Nov 20
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): 17 C · 76615 P · 64618 C · 42914 P · 27116 C · 251
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
Daily closes; Financial Modeling Prep.
Track record
Full history →Of 15 recorded snapshot-versus-outcome comparisons so far, the close landed inside the expected range 66.7% of the time.
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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