The Option-Adjusted Spread on the ICE BofA US High Yield Master II Index. Measures the extra yield high-yield (junk) bonds pay over Treasuries.
HY credit spreads are one of the most sensitive real-time indicators of financial stress. They widen before equity markets sell off and tighten during risk-on recoveries.
Below 300bps = tight, risk-on. 300-400bps = caution. 400-600bps = stress. Above 600bps = crisis. Spreads widened to 2,000bps in March 2020.