Market depth for the on-therun 10-year Treasury security dropped to about 10 percent of its previous level, and daily volumes spiked to more than $ trillion at one point, roughly four standard deviations above the 2019 average daily trading volume.
Stresses were also evident in a breakdown of the usually tight link between Treasury cash and futures prices, with the Treasury cash–futures basis—the difference between prices of Treasury futures contracts and prices of Treasury cash securities eligible for delivery into those futures contracts—widening notably.