Captivate ships with a set number of Caption types. If you're a graphic designer (or know someone who is), you can always create more Caption types. However, the process of creating a custom Caption type can be a bit tedious.
As an alternative, you'll be happy to learn that you can get as wacky as you want when it comes to Text Captions, and you don't have to go to the trouble of creating a Caption type.
To begin, use the Object Toolbar to insert a Polygon, Circle or Rectangle on a slide. (To draw a Polygon, select the tool and click once each time you want to add a section. When finished, click at the beginning, or double-click, to close the shape.)
Once you've drawn the shape, choose Edit > Add Text. You'll notice that there's an insertion point within the shape. At this point, you can add text just like you can within a Text Caption. And you can use the Properties panel to format the text as necessary.
If you've drawn a Polygon shape and you're unhappy with the shape, simply choose Edit > Edit Points. You'll then be able to reshape the Polygon in all sorts of wacky ways.
Note: The only shape that will not accept text is a Line.
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Looking to learn Captivate quickly? We offer two live, online classes. Adobe Captivate Essentials and Adobe Captivate Beyond the Essentials (Advanced).