What to do when you're not quite sure what to do?

That's the question facing many options pros as the new year begins. They are anxious to participate in a January rally, but realize that the market's strength has been relatively concentrated and thus vulnerable to a selloff. "You can't buy what's working and you can't buy what's not working," says Kyle Rosen, the options strategist for

Strome Susskind

. Still, the bulls are holding the day.

"Every sentiment gauge you see shows little activity on the put side of the index," Rosen notes. "There's big call buying on the tech stocks today. But the idea is that people cannot afford to have cash now. It's reminiscent of 1997, when they felt they had to get fully invested."

Not that Rosen is buying into that idea at this point. "When investors have that attitude, it usually means the market is near a quick decline. I wouldn't be surprised if we got one sometime in the first quarter," he says.

Rosen says he's trying to sell some puts that are 15% to 20% out of the money to take in premium in the face of the rally. He says he's also looking at at-the-money straddles on the broad market indices.

The

S&P 100

or

S&P 500

straddles, for instance, were the main targets. Rosen said the wise player would buy the straddle expecting a drastic move in either direction, or maybe both. "I'd look out to March and on a rally, I'd get out of the calls and ride the puts. If the market turned down first, I'd close out the puts and ride the calls," he says.

Today, the January 610 calls cost about 9 1/2 ($950) and traded more than 3,600 by midday, far outpacing the corresponding put volume. In other plays around the options market,

Data Broadcasting

(DBCC)

saw some more options play in anticipation of its selling off its stake in

CBS Marketwatch

.

DBC was hanging around 18 5/8 today while its January 20 and February 20 options traded 250 and 181 contracts, respectively. On Monday, DBC calls traded a combined 5,900 contracts, according to

McMillan Analysis

.

The bidding for

AirTouch

(ATI) - Get Report

ratcheted up action in those calls today. With the stock jumping 5 7/16 on the news that

Vodafone

(VOD) - Get Report

was in the fray, the January 70 calls jumped 3 1/4 ($325) to 4 7/8 ($487.50) on volume of almost 1,400 contracts.

A newly minted February 80 call contract benefited from the speculation as well, trading 1,310 contracts for 1 5/8 ($162.50) by midday.

Bell Atlantic

(BEL)

is also in the running to acquire Airtouch.