Small caps finally came under pressure last week with the Russell 2000 (RUT) down about 2% while the large cap focused Russell 1000 (RUI) finished basically flat on the week.  For the year RUT is still dominating up just over 20% while RUI is up a respectable 10.6% for 2016.

rut-rui-ytd

The relative levels between the CBOE Russell 2000 Volatility Index (RVX) and VIX narrowed as RVX dropped last week and VIX rose.  Relative to most of 2016 the premium is still a bit high.

rvx-vix

Friday this past week was a standard third Friday expiration so the December RUT contracts settled on the open.  That number is quoted using the ticker RLS and it came in Friday morning at 1370.86.  I decided to back track a bit and see if there were any trades from this past week that worked out based on that outcome.  I found one from Wednesday morning that was executed when RUT was around 1365.  Specifically, someone sold the RUT Dec 16th 1370 Puts at 11.92 and purchased the RUT Dec 16th 1360 Puts at 7.22 for a net credit of 4.70.  The payoff below shows where RUT was when the trade went off and the AM settlement level for Russell 2000 index options from Friday.

rut-po