Normally, a stock market sell-off sets off a buying spree in Treasurys, as investors look for security in the more steady government debt market.
But that's not the case now, since Wednesday's sharp plunge in stocks is actually happening because investors have been selling longer-dated Treasurys. As Treasurys are sold, yields, which move opposite price, rise, and that drives up interest rates for a whole range of consumer and business loans.
"There's no flight to safety in bonds. That's a sea change," said Peter Boockvar, chief investment officer at Bleakley Advisory Group.
Analysts say the unusual trade could be a warning that there will be more stock market selling ahead, or at least until investors get scared enough to jump back into Treasurys and markets steady.
The Dow plummeted 831 points, or 3.2 percent, and the S&P 500 fell more than 3.3 percent to close at 2,785.
The 10-year Treasury yield was higher most of the day but edged slightly lower in late trading, to 3.19 percent, off its recent high of 3.26 percent. It was below 3 percent just a month ago. The 30-year bond yield remained higher, however, and was at 3.37 percent as stocks closed for the day.
According to CNBC analysis using Kensho, such a sell-off in stocks typically triggers a "flight to safety" into Treasurys. During the past 20 years, whenever the S&P 500 lost more than 2 percent in a month, Treasurys outperformed. One of the best performing ETFs over the month was iShares 20+ Years Treasury ETF, or TLT, which tracks bonds of longer duration. It averaged a 1.2 percent gain in those occurrences, but other safety plays did not fare nearly as well.
For instance, SPDR Gold Shares ETF GLD was up just a half percent for the month, and an ETF representing investment-grade corporate bonds Vanguard Total Bond Market Index Fund BND, was up 0.3 percent during the month.
The TLT Treasury ETF Wednesday was also going against the grain, trading lower on the day.
"Something occurred in markets today that has been extremely rare this decade," wrote Larry McDonald, head of U.S. macro strategies at ACG Analytics. "In the past 3 years, there have only been 14 trading days [including today] where the S&P 500 [SPY] was lower more than 1% and US bonds [TLT] were also lower on the day. Stocks [and] bonds are wearing a very rare positive correlation." SPY is the SPDR S&P 500 ETF Trust, representing the S&P 500.