Tactical risk-off move for US high yield OAS

A whiff of risk-off from the US high yield option adjusted spread (OAS)

The U.S. high yield option-adjusted spread (OAS) has widened from 2.69 on September 22 to 3.18 on October 13—its highest level since late June. This move formed a bearish divergence versus the higher highs in the S&P 500 (SPX) from late September into early October. Sustained or further widening would signal a growing macro risk factor for U.S. equities.

Chart 1: S&P 500 and the US high yield OAS