Turns out there is a lot of history in this shot! Thanks to the amazing detective work of John Bengtson (Silent Locations), we now know Houdini is running down what is known as the East Cahuenga alley off Cahuenga Blvd. just south of Hollywood Blvd. Best of all, the alley is still there! This is one of the few remaining Grim Game filming locations where you can still walk (or run) in Houdini's footsteps.
Here's a photo I took last Sunday. The Jerk House sign, advertising a restaurant in the middle of the alley, is a recent addition.
In the script for The Grim Game, Houdini was supposed to scale a high wall to escape the asylum. Publicity photos of Houdini on the wall exist, but the scene is not in the final film. Instead, this shot of Houdini dashing down the alley and emerging onto Cahuenga boulevard was used to conclude the sequence.
This is pure speculation, but when the wall climbing sequence was either cut or abandoned, could this have been a quick pickup shot to fill the gap? The Cahuenga alley is not far from the location of the Famous Players-Lasky studio at Selma and Vine where The Grim Game was made.
You can read more about the history of the Cahuenga alley at John Bengtson's site: The Kid – Cops – Safety Last! Three comic masterpieces filmed at a common Hollywood alley you can still visit today. John says, "I can think of no Hollywood exterior that plays a greater role in silent movie history than this unique alleyway."