View the spread between a computed option-adjusted index of all BBB-rated bonds and a spot Treasury curve.

Graph and download economic data for ICE BofA Single-A US Corporate Index Option-Adjusted Spread (BAMLC0A3CA) from 1996-12-31 to 2026-03-25 about A Bond Rating, option-adjusted spread, corporate, and USA.

United States - ICE BofA AA US Corporate Index Option-Adjusted Spread was 0.48% in February of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA AA US Corporate Index Option-Adjusted Spread reached a record high of 5.15 in November of 2008 and a record low of 0.36 in October of 1997. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA AA US Corporate Index Option-Adjusted Spread - last updated from the United States Federal Reserve on February of 2026.

View market daily updates and historical trends for US High Yield Master II Option-Adjusted Spread. from United States. Source: Bank of America Merrill Ly…

Graph and download economic data for ICE BofA BB US High Yield Index Option-Adjusted Spread (BAMLH0A1HYBB) from 1996-12-31 to 2026-03-26 about BB, option-adjusted spread, yield, interest rate, interest, rate, and USA.

View market daily updates and historical trends for Euro High Yield Index Option-Adjusted Spread. Source: Bank of America Merrill Lynch. Track economic da…

United States - ICE BofA US High Yield Index Option-Adjusted Spread was 3.17% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA US High Yield Index Option-Adjusted Spread reached a record high of 21.82 in December of 2008 and a record low of 2.41 in June of 2007. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA US High Yield Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.

Option-adjusted spread of the ICE BofA US High Yield Master II Index, a broad measure of the US high yield corporate bond market. Daily frequency, published by FRED.

United States - ICE BofA Single-A US Corporate Index Option-Adjusted Spread was 0.72% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA Single-A US Corporate Index Option-Adjusted Spread reached a record high of 6.49 in December of 2008 and a record low of 0.48 in October of 1997. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA Single-A US Corporate Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.

Context

This dataset provides a daily, aligned matrix of macroeconomic and market volatility features designed specifically for Unsupervised Market Regime Detection (e.g., Hidden Markov Models). It spans two decades (2006–2026), capturing major market cycles including the 2008 Financial Crisis, the 2020 COVID-19 crash, and the 2022 rate hike cycle.

Base Features

The dataset contains aligned daily values for the following core indicators:

VIX (CBOE Volatility Index): Represents implied market volatility and fear.

Credit Spread (Credit_Spread): ICE BofA US High Yield Index Option-Adjusted Spread. Measures corporate financial stress.

Yield Curve (Yield_Curve): 10-Year minus 2-Year Treasury Constant Maturity rate. An indicator of economic expectations and recession probability.

US Dollar Index (DXY): Measures the value of the US dollar relative to a basket of foreign currencies.

Chicago Fed National Activity Index (CFNAI): A broad coincident indicator of national economic activity and inflationary pressure.

Initial Jobless Claims (Jobless_Claims): Weekly filings for unemployment insurance, measuring real-time labor market weakness.

SPY Log Returns (SPY_LogRet): Daily logarithmic returns of the S&P 500 ETF (typically used as the predictive target or out-of-sample evaluation metric).

Preprocessing

To make this data directly viable for quantitative modeling and dimensionality reduction (PCA), several transformations have been applied:

Trading Day Alignment: All weekend and market holiday nulls have been strictly dropped. The index represents actual NYSE trading days.

Exponential Decay Fills: Macroeconomic data released periodically (Weekly Jobless Claims, Monthly CFNAI) are not simply forward-filled. An exponential decay function is applied to the discrete releases to mathematically simulate the fading market impact of the news over time.

Rolling Z-Scores (Z_ prefix): Rolling 252-day (1-year) Z-scores applied to the base features to normalize the data and capture relative extremes.

Momentum/Delta (d prefix): Rate-of-change transformations (e.g., 20-day differencing) to capture the trajectory of the indicators.

Data Sourcing & Compliance Note

Please Note : The original project for which this dataset was generated uses ISM manufacturing PMI in place of CFNAI. However in order to comply with data licensing agreements, the ISM PMI has been excluded from this public release and replaced with CFNAI which is free to use

View market daily updates and historical trends for US Corporate BBB Option-Adjusted Spread. from United States. Source: Bank of America Merrill Lynch. Tr…

Option-adjusted spread of the ICE BofA BBB US Corporate Index, tracking investment-grade BBB-rated corporate bonds. Daily frequency, published by FRED.

High Yield credit spread and VIX volatility index — divergences signal regime shifts.

View market daily updates and historical trends for US High Yield BB Option-Adjusted Spread. from United States. Source: Bank of America Merrill Lynch. Tr…

Indonesia Credit Spread Matrix: PHEI: BBB SPREAD: Tenor: 3 Year data was reported at 401.370 Basis Point in 26 Mar 2026. This records an increase from the previous number of 401.140 Basis Point for 25 Mar 2026. Indonesia Credit Spread Matrix: PHEI: BBB SPREAD: Tenor: 3 Year data is updated daily, averaging 455.160 Basis Point from Jan 2022 (Median) to 26 Mar 2026, with 1006 observations. The data reached an all-time high of 618.610 Basis Point in 03 Jan 2022 and a record low of 391.360 Basis Point in 28 Aug 2025. Indonesia Credit Spread Matrix: PHEI: BBB SPREAD: Tenor: 3 Year data remains active status in CEIC and is reported by PT Penilai Harga Efek Indonesia.MD: PT Penilai Harga Efek Indonesia: Corporate Bond Spread.

United States - ICE BofA BB US High Yield Index Option-Adjusted Spread was 1.95% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA BB US High Yield Index Option-Adjusted Spread reached a record high of 14.68 in December of 2008 and a record low of 1.36 in August of 1997. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA BB US High Yield Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.

United States - ICE BofA BBB US Corporate Index Option-Adjusted Spread was 1.09% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA BBB US Corporate Index Option-Adjusted Spread reached a record high of 8.04 in December of 2008 and a record low of 0.72 in August of 1997. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA BBB US Corporate Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.

Graph and download economic data for ICE BofA 3-5 Year US Corporate Index Option-Adjusted Spread (BAMLC2A0C35Y) from 1996-12-31 to 2026-02-26 about 3 to 5 years, option-adjusted spread, corporate, and USA.

View market daily updates and historical trends for US Corporate AA Option-Adjusted Spread. from United States. Source: Bank of America Merrill Lynch. Tra…

United States - ICE BofA CCC & Lower US High Yield Index Option-Adjusted Spread was 9.74% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA CCC & Lower US High Yield Index Option-Adjusted Spread reached a record high of 44.29 in December of 2008 and a record low of 4.14 in June of 2007. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA CCC & Lower US High Yield Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.