The changes in implied bankruptcy chances are applied to explain the credit default swap (CDS) spread changes of six financial institutions during the financial crisis. I estimated the chances from options data, with the assumption that risk neutral density (RND) is composed of lognormal densities with a chance of bankruptcy. Interest rate information and market information from firm- and index-level RNDs are used to explain CDS spread changes. The empirical findings show that firm-level information provides more explanations compared with index-level information. The changes in firm-level return is a critical determinant of CDS spreads. The changes in implied bankruptcy chances are significantly and positively related to spread changes. Finally, the changes in slope term is negatively related to spread changes.