That's a shot from Lombard's famous June 1935 party on the Venice Pier, and she's flanked by Paramount cohort Marlene Dietrich, actress Lili Damita and her husband of about a month, Errol Flynn, a newcomer at Warners. This was the party where Dietrich bruised her legs on the rides after deciding not to wear her usual trousers (http://carole-and-co.livejournal.com/414055.html).
Moreover, the photo is not only an original, but features a snipe on the back:
Note Damita's first name is spelled "Lily," even though she had made several films at Paramount (including Cary Grant's movie debut in 1932, "This Is The Night"). This was apparently used in some sort of publication, likely a magazine; as to which one, check those from the latter half of 1935, and if this is on page 20, you probably have the answer.
You can buy this photo straight up for $349.95, or place a bid beginning at $299.95. Bids end at 10:30 p.m. (Eastern) Saturday. If you're interested, visit http://www.ebay.com/itm/RARE-EARLY-PHOTO-OF-MARLENE-DIETRICH-CAROLE-LOMBARD-ERROL-FLYNN-1935-/320875702489?pt=LH_DefaultDomain_0&hash=item4ab5aea8d9.