As the Russell 2000 (RUT) continues to move into uncharted territory at least one trader believes 1500 is not achievable.  At least not through standard March (3/17) expiration.  Early today when RUT was around 1393 (much lower than today’s close) a pretty big trade came into the RUT post.  Specifically, they was a seller of 37,601 RUT Mar 1490 Calls at 1.42 who then purchased 37,601 RUT Mar 1510 Calls for 0.95.  The result is a net credit of 0.47 and a payoff at RUT AM settlement on March 17th that looks like the diagram below.

RUT PO

In order for this trade to be in trouble RUT needs to move up about 7% from where the small cap benchmark was when the trade went off.  A move to 1510 or 8.4% from this morning’s RUT price is the worst case scenario with the resulting loss coming in at 19.53.