This is from a Goldman Sachs research report dated Thursday. The details:
We compare the investment grade CDX spread to the implied volatility of a 25 delta put of an equal weighted basket of the stocks represented in the CDX index.
No, I'm not entirely clear on what a 25 delta put is, either. But the bigger picture is clear enough:
Indicators of equity and credit risk have diverged dramatically over the past month. In our view, this divergence is caused by technical factors in the credit market. They also reflect a more negative view on recession, write-downs and funding issues that we believe equities have not yet recognized.
In other words, equities aren't looking so hot right here.