Traders got a late surprise in United Rentals(URI) yesterday when earnings, expected to come out after the close, were posted early and shares shot up nearly $4 in an instant. When pros refer to the limitations of options pricing models in real-world use, this is what they are talking about -- that whole concept of 'dynamically hedging your position' goes out the window in a gap like this (or a flash crash, or an unexpected market closure etc). Option flow spiked instantly and was not what you'd expect -- shares actually blipped down nearly $1 before spiking up- and the flow that hit the market in the first few seconds was non-directional sellers of Oct volatility -- the most certain part of the post-earnings move. Looking at pin candidates for tomorrow- we see a handful of small and midcap names where OI near spot is greater than 2x the average daily turnover for shares -- these tend to have the most potential to pull to strike into the close tomorrow when the options expire. Some traders (who like to live life on the edge) sell straddles or strangles in pinnable names, hoping to see the options decay to zero if/when the stock pulls to that strike.