Speaking at the Times BFI 52nd London Film Festival, Soderbergh said he wanted Cleo to be similar to "an Elvis musical". The acclaimed director went on to explain, "I've always wanted to do a musical, I felt like a female protagonist was probably a good idea, because the majority of the audiences for musicals are female. I started thinking about Catherine because I knew she could sing and dance and the list [of possible subjects for the film] got pretty short at that point."
Soderbergh then added "I know Cleopatra stole that haircut from Louise Brooks, but Catherine looks great in it."
Yes she does. Anyone who saw Chicago knows that Catherine Zeta Jones wears a bob a la Brooks with the best of them.