This chapter highlights the use of credit derivatives as delivery option. Credit derivatives, which began as a means of hedging the loan exposure of banks, have taken on a life of their own. Now they are used for many purposes for which they were not originally designed. The delivery option is a feature of trillions of dollars’ worth of outstanding credit derivatives. While the delivery option does have elements that behave like interest rate options, the triggers are very different. Interest rate options go in the money when there is a market move past a certain threshold. The delivery option goes in the money when a credit event occurs. The cash flows of a credit default contract are influenced by changes in the probability that a particular company will default. Even though default probabilities are the most important factors to consider when evaluating the cash flow of a default swap, it is also necessary to evaluate the structure of the market for the underlying debenture to determine the value of the delivery option.