  Ultra-luminous X-Ray sources are extra-nuclear point sources in external
galaxies with $L_X=10^{39}$--$10^{41}$ erg/s and are among the most poorly
understood X-ray sources. To help understand their nature, we are trying to
identify their optical counterparts by combining images from the Hubble Space
Telescope and the Chandra Observatory. Here we report upon the optical
counterpart for the ULX in NGC 5204, which has average X-ray luminosity of
$\sim3\times10^{39}$ erg/s and has varied by a factor of 50% over the last 10
years. A unique optical counterpart to this ULX is found by carefully comparing
the Chandra ACIS images and HST WFPC2 and ACS/HRC images. The spectral energy
distribution and the HST/STIS FUV spectrum of this object show that it is a B0
Ib supergiant star with peculiarities, including the $\lambda$1240 N V emission
line that is uncommon in B stellar spectra but has been predicted for X-ray
illuminated accretion disks and seen in some X-ray binaries. Study of its FUV
spectrum leads to a binary model for this ULX in which the B0 Ib supergiant is
overflowing its Roche Lobe and accreting onto the compact primary, probably a
black hole. This picture predicts an orbital period of $\sim10$ days for
different black hole mass, which can be tested by future observations.
