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One side of the market is about to drag down another, according to Oppenheimer's head of portfolio strategy. And it's still unclear which side will lose out.

High-yield bonds have taken a tumble this month, with popular tracking ETFs HYG and JNK down almost 3 percent in November, as yields have risen.

In fact, the move is so substantial that even though the yields on government bonds are rising as well, the spread between the yield on so-called "junk bonds" and the yield on Treasurys has remained elevated. This indicates that traders see more risk in the high-yield market than they have in the past.

The odd thing is that equity investors don't appear to feel the same way — judging by the collapse seen in the market's so-called "fear index," the VIX.

"While the equity market has rallied and the VIX has fallen, high-yield spreads have stayed relatively wide — they haven't closed that gap," Andrew Burkly of Oppenheimer said Thursday on CNBC's "Trading Nation." "So essentially either the high-yield market is telling the equity market we're missing something here, or the other way around."

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If bond investors persuade stock investors to see things their way, there could be more volatility into year end, Burkly concludes.

"It's not very inspiring that the high-yield market can't confirm what the S&P 500 has done," agrees Neil Azous of advisory firm Rareview Macro.

Azous said that credit investors are likely becoming more risk-sensitive going into December. The drop in high-yield bonds may indicate nervousness ahead of the December Fed meeting, during which Fed officials will reassess the market environment for a rate hike.

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"Because we are entering an interest rate-hiking environment, we have to recalibrate where the valuation is in high yield if we're no longer going to be at the zero interest rate bound going forward," he said.

At the same time, Azous points out that weakness in the energy sector has also seeped into the high-yield market. Crude oil has tumbled more than 10 percent in November, and many firms that issue high-yield debt are in the energy space.

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