This excerpt taken from the C DEF 14A filed Mar 14, 2006.
2005 Option Grants
Notes to 2005 Option Grants Table
(A) The total options outstanding at the end of 2005 for each covered executive is shown as Number of Shares Underlying Unexercised Options at 2005 Year-End in the table 2005 Aggregated Option Exercises and Year-End Option Values below.
(B) Reload options are not new discretionary grants by Citigroup; rather the issuance results from rights that were granted to the option holder as part of the initial option grant.
(C) The Grant Date Present Value numbers in the table were derived by application of a variation of the binomial option pricing model. Until 2004, Citigroup had used a variation of the Black-Scholes option pricing model to calculate the Grant Date Present Values. In order to be consistent with the method used for pricing stock options in its financial statements, Citigroup calculates the Grant Date Present Values in its proxy statement using the binomial option pricing model. The following assumptions were used in employing the model.
Option Exercises Table
The following table shows the aggregate number of shares underlying options exercised in 2005 and the value at year-end of outstanding options, whether or not exercisable.