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This is, of course, a very old play. The main thing that gets in the way of trading it is that puts are rarely available in a quantity that matches typical credit instrument notionals. Here's a decent paper by Peter Carr on the topic, see equation (4) and surrounding.

As others have noted, Markit is a great source for this. For CDX in particular, they publish on a daily basis their "Biggest Credit Movers" which includes CDX, iTraxx, iBoxx, Sovereign Credit improvement/deterioration, and Corporate credit improvement/deterioration. Here is a sample report, which you can also sign up to have emailed to you every day. Keep ...