Here you can monitor in real time my proprietary SPY Convergence/Divergence Model: when the SPY (green line) is below the Model (white line) it means that Credit is being bought more relative to Earnings. The two series are co-integrated: convergence in the series is expected but not guaranteed and divergence can last days. The model is reset at the start of the new trading session and it is calculated using poor vs good credit quality bonds prices as a proxy of credit demand. This kind of model is a simple example of pair trading model and not a directional trading model.
