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Although the S&P 500 is down about 4% in the last six trading days, high yield spreads (which typically rise when the market falls) have barely budged. Since 12/9, the spread on the BoA/Merill High Yield Master Index relative to Treasuries has only risen by 9 basis points from 756 to 765.

Typically, when you have a drop in the S&P 500 like we have seen in the last six trading days, you would expect a much larger increase.

click to enlarge

Source: High Yield Spreads Barely Budge