The 35-year-old actor is starring in 'The Sisterhood Of Night', playing a guidance counselor in an upstate New York town where some high school girls have formed a secret society which the townsfolk believe is nefarious, reported Deadline.
"It was the first I filmed something in a high school where I wasn't a student," he said.
Penn is also starring in 'Dementamania', a psychological thriller directed by Kit Ryan.
"It's an old school-style British horror movie where I play a young CEO of a company, and where there is a lot of blood and gore. I've always wanted to make a film like that. When I first moved to LA, I got a job as an extra on Wes Craven's The Wishmaster.
"Even though I got all bloodied up, I was on the screen for something like point five seconds.
Dementamania is very cool and disturbing," he added.
Penn is also starring with Elijah Wood in the Randall Einhorn-directed 'Late Bloomer'. Wood plays the title character and shooting starts in February.
"It's based on a novel by Ken Baker called A Memoir Of My Body, and Elijah plays a guy whose medical condition prevented him from going through puberty until his 30s.
"I play one of his two childhood friends and while we have settled down from the irresponsibility that men go through in their 20s, we help him as he experiences all of these things for the first time. The script is just hilarious."