A novel finite volume method is presented that is applicable to discontinuous capillary pressure fields. The method is developed within the control-volume distributed multi-point flux approximation (CVD-MPFA) framework (Edwards and Rogers in Comput Geosci 02(04):259-290, 1998; Friis et al. in SIAM J Sci Comput 31(02):1192-1220, 2008). Results are computed on structured and unstructured grids that demonstrate the ability of the method to resolve flow in the presence of a discontinuous capillary pressure field for diagonal and full-tensor permeability fields. In addition to an upwind approximation for the saturation equation flux, the importance of upwinding on capillary pressure flux via a hybrid formulation is shown.