Credit spreads should tighten as equities rise: both should price improving conditions the same way. Spreads widening WHILE stocks rise is complacency: the equity market and the credit market disagree about risk.
STRAINED z = 1.14 ROBUST as of 2026-09-28
toward the strained side: above ~86% of its history
The dysfunction statistic, full history
Above the dashed zero line is the economically wrong direction: the
relationship failing to do its stabilizing job.
The two series it watches
BAMLH0A0HYM2
2023
high 4.61 · low 2.61 · now 3.02 2026
SP500
2016
high 7,799 · low 2,089 · now 7,684 · 1 recession shaded 2026
How it is scored
Correlation today (r)
-0.4342
z vs. its own history
1.14 on the Fisher-transformed (arctanh) correlation (effective N ≈ 7.5 independent windows, from 691 overlapping readings)
Rule, pre-committed
z < 1 BEHAVING · 1 ≤ z < 2 STRAINED · z ≥ 2 with the wrong economic sign, held 10 consecutive readings, DECOUPLED.
Confidence
ROBUST: Plain rolling correlation of daily moves, on arctanh-transformed values; HY OAS (F1) and the S&P 500. Positive co-movement of rising spreads and rising equity is the divergence tell.