Closed
⌘K
Sign in Sign up

PENN Entertainment PENN 17.34 -0.1 -0.57%

Previous-day view · Thu Nov 5 close. You are previewing the previous trading day. Subscribe to see today live and every other date — Trader is $59/mo. Sign up Sign in

Expected move

November 05, 2026 close · $17.36
Horizon Expected move Typical range 2 in 3 closes 9 in 10 closes
Next session ±2.2% ±$0.37 $16.99 – $17.73 $16.91 – $17.81 $16.56 – $18.16
2 sessions ±3.0% ±$0.52 $16.84 – $17.88 $16.73 – $17.99 $16.24 – $18.48
3 sessions ±3.8% ±$0.66 $16.70 – $18.02 $16.58 – $18.14 $15.96 – $18.76
1 week ±4.8% ±$0.83 $16.53 – $18.19 $16.34 – $18.38 $15.59 – $19.13
2 weeks ±6.7% ±$1.17 $16.19 – $18.53 $15.91 – $18.81 $14.87 – $19.85
3 weeks ±8.3% ±$1.45 $15.91 – $18.81 $15.56 – $19.16 $14.30 – $20.42
1 month ±9.9% ±$1.72 $15.64 – $19.08 $15.21 – $19.51 $13.70 – $21.02
Size, not direction. The 68% and 90% bands held 66–68% and 89–90% of closes in held-out years 2019–2026. Draw the cone on the chart →

Volatility premium

Beta
The forecast is for the current session, which this plan does not open.

Earnings: priced against what happened

Average implied move
±8.49%
Average actual move
1.12%
Beyond the implied move
0 / 3
Median IV change
-22.57%
Reaction session Implied Actual Used ATM IV before → after
August 07, 2025 ±7.05% -0.59% 0.08× 59.1% → 47.7%
May 08, 2025 ±8.78% -2.67% 0.30× 71.9% → 51.9%
February 27, 2025 ±9.63% -0.10% 0.01× 76.1% → 56.5%
Reconstructed from archived mid quotes; the straddle covers its expiration, not only the reaction session. These are not option returns. Method and missing reports →