GRAVITY is a second generation near-infrared VLTI instrument that will combine the light of the four unit or four auxiliary telescopes of the ESO Paranal observatory in Chile. The major science goals are the observation of objects in close orbit around, or spiraling into the black hole in the Galactic center with unrivaled sensitivity and angular resolution as well as studies of young stellar objects and evolved stars. In order to cancel out the effect of atmospheric turbulence and to be able to see beyond dusty layers, it needs infrared wave-front sensors when operating with the unit telescopes. Therefore GRAVITY consists of the Beam Combiner Instrument (BCI) located in the VLTI laboratory and a wave-front sensor in each unit telescope Coude room, thus aptly named Coude Infrared Adaptive Optics (CIAO). This paper describes the CIAO design, assembly, integration and verification at the Paranal observatory.