this seems too good to be true

[tradelosses]

http://www.cmegroup.com/trading/interest-rates/us-treasury/2-year-us-treasury-note.html

the yield between the first and second contract is $600? that seems too much . That means $2400/year

 

[truetype]

Fixed-income futures rolls are a function of yields at points along the current curve. Otherwise there would be cash & carry arbitrage opportunities.