1. Introduction
2. PENELLOPE survey strategy
2.1. HST ULLYSES program
2.2. Observing strategy at VLT
2.3. Contemporaneous photometry
2.4. Spectroscopic data reduction process
2.5. Data analysis
3. First PENELLOPE data: Young stars in Orion
3.1. Information on the Orion sample
3.2. Observation and data reduction for the first PENELLOPE dataset
4. Analysis of the Orion data
4.1. Stellar and accretion parameters from the X-Shooter spectra
4.2. Photospheric parameters and veiling from high-resolution spectra
4.3. Variability from high-resolution spectra
4.4. Variability from photometry
5. Discussion
5.1. Comparison of X-Shooter and HST Balmer continua
5.2. Accretion properties of young low-mass stars
6. Conclusions