CDS options allow investors to express a view on spread volatility and obtain
a wider range of payoffs than are possible with vanilla CDS. We give a detailed
exposition of different types of single-name CDS option, including options with
upfront protection payment, recovery options and recovery swaps, and also
presents a new formula for the index option. The emphasis is on using the
Black-76 formula where possible and ensuring consistency within asset classes.
In the framework shown here the `armageddon event' does not require special
attention.