What is Penstock:
The penstock is nothing but a connecting pipe from an overhead tank to the turbine. It just carries the water to the hydro turbine from water storage. It is made up of steel or concrete depending on the capacity of the turbine.
For the low heads typically less than 30m, concrete is preferred since high pressure may damage the concrete.
Steal penstock can be used for any head. Also, the thickness of the penstock is directly proportional to the pressure. i.e while increasing the working pressure you should increase the penstock wall thickness or pipe thickness.
Note that, high pressure will be created at that time of load reduction.