Suppose Ms. ABS sells me a 6-month ATM put option on 1000 shares of IBM. Lets limit our attention to the credit risk Im carrying to Ms. ABC at just one date the date 3 months from today. What factors from the market on that date will be needed to determine the options value? One factor is the price of IBM stock on that future date. And the other factor? From todays viewpoint we need a probability distribution for the 3-month-in-the-future value of those factors to get the probability distribution of the options value at that date. What correlation might come in? Under the assumptions above, suppose Ms. ABC owns a lot of IBM stock in her personal portfolio. Why might this situation motivate me to be more vigilant about the default risk Im carrying to Ms. ABC?