Is it a possibility you cast those rays before you draw the sphere?
Then if Z-buffer is enabled, the sphere's fragments simply won't be rendered, as those parts of rays are closer. When you are drawing something semi-transparent (using blending), you should watch the order you draw things carefully.
In fact I think you cannot use Z-buffer in any sensible way together with ray-tracing process. You'll have to track Z-order manually. While we are at it OpenGL might not be the best API to visualize ray-tracing process. (It will do so possibly much slower than pure software ray-tracer)