Procter and Gamble (PG, news, chart, volatility) options continue to trade actively as today is the final day for arbitrageurs to build postisions ahead of the SJM tender offer that expires tomorrow. More than 230,000 PG contracts have traded today in the form of zero-delta reversals tied to shares. The basic strategy involves buying large quantities of PG stock to tender in hopes of receiving discounted SJM shares in return. To avoid the stock risk, the arbs short the amount of SJM they expect to get back and use these option trades to hedge the balance. Over the past 2 weeks nearly 1.4million option contracts have traded as part of this tender bet, equivalent to 70million shares and evidence that capital is still at work in search of profitable opportunities.