Unsettling anomalies in the markets

(That’s the Department of Treasury seal on the boat.)

Weird scenes inside the gold mine today, both in treasuries and in the stock market

Treasury securities at “historic levels of fail”

Work with me here. This is not intuitively obvious. The delivery of treasuries is cratering, with the fail rate now at 20%. This is because holders are hoarding them or it’s cheaper not to deliver for those doing naked shorting. I don’t claim to understand this totally except that something appears to be seriously out of whack.

Note the wide spreads between indexes and their tracking stocks

Normally, the spread on the %Chg between the DJI and its tracking stock DIA is just a tenth of point or so, because they’re both essentially measuring the same thing. True, the DIA is a synthetic security that attempts to follow the DJI extremely closely and it usually does just that. But not today. The SPX / SPY spread was more than a full point off and the NDX / QQQQ was also out of whack.

(Note: for those unfamiliar with these tracking stocks, they can be bought and sold as a way to play the index itself. The QQQQ, for example, is one of the most widely traded securities and routinely trades 100-300 million shares a day.)

What these anomalies ultimately mean I don’t know except that I’ll venture a guess that the current market turbulence is causing all manner of dislocations, is increasing, and that things may be about to get seriously bumpy.