First thing on Orchidea's arrival for one of their sessions, Ferruccio asks her if she's brought him any detective stories, "gialli" ( plural) in Italian. This film belongs to the Italian genre called "giallo", so named for a series of popular Italian detective novels, published in 1929, all bound in yellow covers, "giallo" meaning "yellow" in Italian. Ultimately the term became generalized for detective stories, in print or on film, with an emphasis on style, sleaze and gore. Thus, Ferruccio is asking for gialli in a giallo.
Orchidea smokes Astor brand cigarettes, a common favorite of leading ladies in gialli.