Don't look at me. I think markets are probably only really efficient in the long term.
For the past few weeks I have been watching what looks like an anomaly in the credit spreads of a particular investment grade company. They have a billion dollar issue of cash bonds out that mature almost exactly 5 years from today, which should be a nearly perfect substitute for the 5 year CDS contract. That said, the CDS trades at twice (!) The spread of the cash bonds. Makes no sense if you buy into efficient markets. I think I know what is happening, but nobody will ever know for sure.