The 20 year-old defender was one of a number of our players that were invited along to Jamie Vardy’s V9 Academy earlier this summer, writes Tom Feaheny.
He joins the League One side on a three-year deal.
Nuneaton Town boss Tommy Wright was pleased for the defender as he told the club's website.
“Alex is a quality footballer. He ticks all of the boxes when it comes to the modern-day player; he’s quick, athletic and someone who has much to give.
“You can see why so many clubs from higher levels were looking at him and we knew as soon as he got the call-up to the V9 Academy that it would be tough to keep him - we knew then that people would get to see what he was about.
“I am delighted for him that he has now got this move and I can see him making an immediate impact there.
“Lee Tucker at the V9 said Alex was one of the most exciting players they had at the Academy, he was one they had a lot of hope for and that is testament to the work that we have put into his development here.”
Peterborough United have taken quite a few players from Vanarama National League clubs in recent years, with Penny joining his new club immediately.