Catherine Zeta-Jones has been set to star in Side Effects, the thriller that Steven Soderbergh will direct. She joins Blake Lively, Jude Law and Channing Tatum, who are also negotiating. The Scott Z. Burns scripted film is being financed by Megan Ellison’s Annapurna Pictures, with production to start in April in New York on a thriller that has a budget in the $30 million range. Lorenzo di Bonaventura is producing with Greg Jacobs and Burns. Open Road recently signed on to distribute in the U.S.