This paper applies a TVP-VAR model to explore dynamic connectedness between West Texas Intermediate crude oil and other US energy prices, stock prices and exchange rate markets during the April 2020 supply shock leading to negative WTI crude oil prices. This period, while coinciding with the escalation of the COVID-19 pandemic, is also associated with non-uniform government pandemic responses, widespread expectations of global economic slowdown, and the combined effects of international political influence, all of which generated immense financial stress. A number of distinct results are identified. Firstly, while WTI is broadly identified as a volatility receiver from all of the analysed markets, during the negative pricing events WTI rapidly becomes a volatility transmitter. The inherent signal within such an unexpected market movement sent very sharp contagion effects throughout traditional financial markets. Spillovers to stock, currency and futures markets are also substantial. This negative valuation event, although reaffirming the status of the efficient markets hypothesis, has potentially endangered the role of WTI as a safe-haven during future periods of financial stress and crises.