When you first talk to her, she doesn't have much to say beyond slamming her daughter-in-law. You need more information about this situation.
Hint 2
Go back to Madison and repeat Penelope's claims (kids, don't try this at home!), and Madison will defend herself with more information.
Hint 3
She says they gave Penelope a key to their house, and that it's in her room at Seagram. Any time you hear "key," don't your game-player's instincts all fire up? Yes, we want that key, though you don't know why yet.
Hint 4
Go back and talk to Penelope about the key and everything else Madison said. She denies it, of course, and starts to talk -- but then she suddenly gets cautious and says she won't tell you any more about Gavin until you get her peridot pendant back.