Sometimes when the kicker punts the ball and it goes out of bounds, there is a penalty because ball went out of bounds and other times there is no penalty when that happens.
Can someone please explain the rule to me?
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You're confusing a punt with a kickoff.
A kickoff going out of bounds is a foul, and the ball will be placed on the 40 yard line for the returning team to start, or where the ball went out, which ever is better for the receiving team.
Penalty: For a kickoff out of bounds: The receiving team may elect to take possession of the ball 25 yards from the spot of the kick or at the out-of-bounds spot.
There's no foul for a punt going out of bounds.