Penn Entertainment Stock Volatility


USD 27.96  1.43  5.39%   

Penn Entertainment maintains Sharpe Ratio (i.e., Efficiency) of -0.0822, which implies the firm had -0.0822% of return per unit of risk over the last 12 months. Macroaxis standpoint towards forecasting the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Penn Entertainment exposes twenty-seven different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Penn Entertainment coefficient of variation of (1,242), and Risk Adjusted Performance of (0.08) to confirm the risk estimate we provide.
Penn Entertainment Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Penn Entertainment daily returns, and it is calculated using variance and standard deviation. We also use Penn Entertainment's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Penn Entertainment volatility.

240 Days Market Risk

Very steady

Chance of Distress

Close to Average

240 Days Economic Sensitivity

Responds to the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Penn Entertainment can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Penn Entertainment at lower prices. For example, an investor can purchase Penn Entertainment stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Penn Entertainment's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with Penn Entertainment

+0.79MGMMGM Resorts InternationalPairCorr
+0.86MTNVail Resorts TrendingPairCorr

Penn Entertainment Market Sensitivity And Downside Risk

Penn Entertainment's beta coefficient measures the volatility of Penn Entertainment stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Penn Entertainment stock's returns against your selected market. In other words, Penn Entertainment's beta of 0.48 provides an investor with an approximation of how much risk Penn Entertainment stock can potentially add to one of your existing portfolios.
Penn Entertainment exhibits very low volatility with skewness of -0.48 and kurtosis of 3.08. However, we advise investors to further study Penn Entertainment technical indicators to ensure that all market info is available and is reliable. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Penn Entertainment's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Penn Entertainment's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.
12 Months Beta |Analyze Penn Entertainment Demand Trend
Check current 90 days Penn Entertainment correlation with market (DOW)

Penn Entertainment Beta

Penn Entertainment standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

It is essential to understand the difference between upside risk (as represented by Penn Entertainment's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Penn Entertainment's daily returns or price. Since the actual investment returns on holding a position in penn entertainment stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Penn Entertainment.

Using Penn Entertainment Put Option to Manage Risk

Put options written on Penn Entertainment grant holders of the option the right to sell a specified amount of Penn Entertainment at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Penn Entertainment Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Penn Entertainment's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Penn Entertainment will be realized, the loss incurred will be offset by the profits made with the option trade.

Penn Entertainment's PUT expiring on 2022-09-30

       Penn Entertainment Price At Expiration  

Current Penn Entertainment Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
2022-09-30 PUT at $20.0-0.02870.015382022-09-300.01 - 0.090.05View
2022-09-30 PUT at $23.0-0.08860.051112022-09-300.12 - 0.150.1View
2022-09-30 PUT at $24.0-0.14910.07851672022-09-300.23 - 0.250.24View
2022-09-30 PUT at $25.0-0.23670.11282552022-09-300.4 - 0.450.4View
2022-09-30 PUT at $26.0-0.36320.1468922022-09-300.66 - 0.750.67View
2022-09-30 PUT at $27.0-0.51850.15721542022-09-301.09 - 1.21.14View
2022-09-30 PUT at $28.0-0.68220.15251352022-09-301.67 - 1.81.7View
2022-09-30 PUT at $29.0-0.83480.11726352022-09-302.41 - 2.592.42View
2022-09-30 PUT at $29.5-0.85020.1161372022-09-302.81 - 3.052.92View
2022-09-30 PUT at $30.0-0.90410.07534012022-09-303.2 - 3.453.34View
2022-09-30 PUT at $30.5-0.92070.0616192022-09-303.7 - 3.953.26View
View All Penn Entertainment Options

Penn Entertainment Stock Volatility Analysis

Volatility refers to the frequency at which Penn Entertainment stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Penn Entertainment's price changes. Investors will then calculate the volatility of Penn Entertainment's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Penn Entertainment's volatility:

Historical Volatility

This type of stock volatility measures Penn Entertainment's fluctuations based on previous trends. It's commonly used to predict Penn Entertainment's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Penn Entertainment's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Penn Entertainment's to be redeemed at a future date.
The output start index for this execution was zero with a total number of output elements of two hundred fifty-nine. Penn Entertainment Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.

Penn Entertainment Projected Return Density Against Market

Given the investment horizon of 90 days Penn Entertainment has a beta of 0.4803 indicating as returns on the market go up, Penn Entertainment average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Penn Entertainment will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Penn Entertainment or Consumer Cyclical sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Penn Entertainment's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Penn Entertainment stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. Penn Entertainment is significantly underperforming DOW.
   Predicted Return Density   
Penn Entertainment's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how penn entertainment stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Penn Entertainment Price Volatility?

Several factors can influence a Stock's stock volatility:


Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Penn Entertainment Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Penn Entertainment or Consumer Cyclical sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Penn Entertainment's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Penn Entertainment stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Given the investment horizon of 90 days the coefficient of variation of Penn Entertainment is -1216.2. The daily returns are distributed with a variance of 15.0 and standard deviation of 3.87. The mean deviation of Penn Entertainment is currently at 2.92. For similar time horizon, the selected benchmark (DOW) has volatility of 1.13
Alpha over DOW
Beta against DOW0.48
Overall volatility
Information ratio -0.07

Penn Entertainment Stock Return Volatility

Penn Entertainment historical daily return volatility represents how much of Penn Entertainment stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 3.8735% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.1358% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 

About Penn Entertainment Volatility

Volatility is a rate at which the price of Penn Entertainment or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Penn Entertainment may increase or decrease. In other words, similar to Penn Entertainment's beta indicator, it measures the risk of Penn Entertainment and helps estimate the fluctuations that may happen in a short period of time. So if prices of Penn Entertainment fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Penn National Gaming, Inc., together with its subsidiaries, provides integrated entertainment, sports content, and casino gaming experiences in North America. Penn National Gaming, Inc. was founded in 1972 and is based in Wyomissing, Pennsylvania. Penn Entertainment operates under Resorts Casinos classification in the United States and is traded on NASDAQ Exchange. It employs 21973 people.

Penn Entertainment Investment Opportunity

Penn Entertainment has a volatility of 3.87 and is 3.39 times more volatile than DOW. 33  of all equities and portfolios are less risky than Penn Entertainment. Compared to the overall equity markets, volatility of historical daily returns of Penn Entertainment is lower than 33 () of all global equities and portfolios over the last 90 days. Use Penn Entertainment to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a very speculative upward sentiment. Check odds of Penn Entertainment to be traded at $34.95 in 90 days.

Average diversification

The correlation between Penn Entertainment and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Penn Entertainment and DJI in the same portfolio, assuming nothing else is changed.

Penn Entertainment Additional Risk Indicators

The analysis of Penn Entertainment's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Penn Entertainment's investment and either accepting that risk or mitigating it. Along with some common measures of Penn Entertainment stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Penn Entertainment Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Penn Entertainment as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Penn Entertainment's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Penn Entertainment's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Penn Entertainment.
Please check Your Equity Center. You can also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.

Complementary Tools for analysis

When running Penn Entertainment price analysis, check to measure Penn Entertainment's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Penn Entertainment is operating at the current time. Most of Penn Entertainment's value examination focuses on studying past and present price action to predict the probability of Penn Entertainment's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Penn Entertainment's price. Additionally, you may evaluate how the addition of Penn Entertainment to your portfolios can decrease your overall portfolio volatility.
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Is Penn Entertainment's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Penn Entertainment. If investors know Penn Entertainment will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Penn Entertainment listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
The market value of Penn Entertainment is measured differently than its book value, which is the value of Penn Entertainment that is recorded on the company's balance sheet. Investors also form their own opinion of Penn Entertainment's value that differs from its market value or its book value, called intrinsic value, which is Penn Entertainment's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Penn Entertainment's market value can be influenced by many factors that don't directly affect Penn Entertainment's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Penn Entertainment's value and its price as these two are different measures arrived at by different means. Investors typically determine Penn Entertainment value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Penn Entertainment's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.