Andy Constan(@dampedspring):HY Spreads Merton Model - Doomers take a breath please. 1) Yes HY spreads are spiking over the last 4 months. 2) you have to squint to think this is high spreads or stress 3) a merton model using equity vols and levels and corporate leverage tracks spreads pretty well. 4) Corporate spreads are pretty cheap relative to Long term equity "puts" as level and vol and leverage suggests credits are just fine.

Andy Constan

@dampedspring

macro & beta @2Graybeards for beta. Both for investor education, Brevan Howard, Bridgewater, Salomon, Dad of 4. Go Penn, No tweet is advice

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Andy Constan@dampedspring

2026.10.03 17:20

HY Spreads Merton Model - Doomers take a breath please. 1) Yes HY spreads are spiking over the last 4 months. 2) you have to squint to think this is high spreads or stress 3) a merton model using equity vols and levels and corporate leverage tracks spreads pretty well. 4) Corporate spreads are pretty cheap relative to Long term equity "puts" as level and vol and leverage suggests credits are just fine.