Leaking the News. MSNBC reports that there was increased volume in the traded options of P&G and Gillette just prior to the announcement of the merger.

Well before the investing public learned of the $57 billion takeover of Gillette by Procter & Gamble, traders apparently got wind of the deal: Options-trading volume in both companies spiked more than fourfold on Jan. 27, before news of the marriage was announced.

The action, which led to one-day profits of more than 500% on some of those trades, has raised more than a few eyebrows on Wall Street.

On Jan. 28, the day after the merger news hit the wires, prices on the Gillette call options jumped 510% to 620%, rewarding buyers with phenomenal one-day gains, says Johnson. Traders who bought the Procter & Gamble puts didn't do as well, but those puts still doubled in value in the two trading days after the deal was announced.