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PENNPENN Entertainment, Inc. Common Stock

Options Analysis Report•HOTELS & MOTELS
Market Cap $2.3B|NASDAQ
● 2026-08-31$17.36
BULLISH
Analysis: 2026-08-28 EOD data
1Y -13.1%YTD +16.9%7D -4.9%
2,213
30D
±11.1%
13%

PENN Options Overview

bullish flow with unusual activity. No clear edge detected.

REWARDS

RISK ANALYSIS

5.9VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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PENN Gamma Walls

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Value

Is IV priced right?

5.2
ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks4/9 checks passed
≤35%

IV Rank 69.1% — elevated vs history

<1.05x

IV/HV 1.30x — IV premium over HV

Sector Relative≤50%

Sector percentile 62% — above sector median

<1.1x

Front/Back 0.86x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 44.0% — normal range

<80%

Effective IV 70.0% (ATM 44.0% + spread 13.0% + bias) — fair

<3.0%

Total drag 19.89% (spread 13.02% + slippage 6.87%) — high friction

≥5.0

Vega efficiency 3.25 (vega 4.234 / spread 13.02%) — spread drag

Sentiment

Bullish or bearish?

7.4
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +24%, Raw: +22%)
|net sentiment| ≥25%

Conviction-weighted: +24% (bullish) — Raw: +22%

≥15%

|OI skew| 38.3% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +81.6%, OI skew +38.3% — aligned

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +89%, ATM: +10%, OTM: +17% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 11% — very bullish vs sector

Activity

Unusual activity?

6.2
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks5/8 checks passed
≥1.5x

Volume 1.8x avg — elevated

≥15%

Vol/OI 4.3% — normal turnover

≥2 days

3 day(s) elevated — sustained

≥5%

OI change +6.3% (5d) — building

Sector Relative≥60%

Sector activity percentile 71% — active vs sector

≥30%

Large trade volume 38% — institutional presence

≥60%

Aggressive execution 43% — patient

≥30

Conviction +24 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.2
IlliquidLiquid

Evaluates

, volume depth, and open interest for trade execution quality.

Risk Checks3/8 checks passed
≤5.0%

Spread 13.0% — wide

≥10,000

OI 51,721 — deep

≥500

Volume 2,213/day — adequate

≤$0.50

$0.65 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 79% — wider than sector

≥100 contracts

Depth 517.4 contracts (bid:231.0 ask:286.4) — deep

<1.0%

Avg slippage 6.87% — poor

Timing

Is now a good time?

7.3
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -14.2% — contango

<30 or >70

IV percentile 69% — neutral

≥10pts kink

IV kink -5.5pts — no clear event

<0.5 or >2.0

θ/ν ratio 557.14 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +24% @ 62% consistency — unclear

≥40 composite score

Score 68 (ITM 20% + inst 38%) — HIGH institutional

Directional Strategy Fit

Option Buyers
Long Calls6.9
bullishIV fair, bullish flow
Long Puts4.3
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.7
bullishIV fair, bullish flow
Covered Call4.1
bearishIV fair, bullish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

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