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I understand how to calculate the yield on a 10 yr TNote based on face, price & coupon.

I don’t understand why the yield (and price) on a futures contract about to expire is so different than the market yield (and price) if you buy a note instead.

For example March 21 10 Yr TNote contracts are about 131 which (I think) gives a yield of 2.48% but the notes auctioned last week had a yield of about 1.5%.

I understand the future is based on 6% coupon and e.g. last weeks auction had a coupon of 1.125% but I can’t see how this is reflected in the contract price.

If my data is correct(?) I don’t see why you wouldn’t buy the note, sell the future & pocket the difference?

Thanks for any help

EDIT 1: This question was answered in the Quantitative Finance group (TNote Futures contract YTM vs yield on bought notes?) - key information was suggestion to look at: https://www.cmegroup.com/tools-information/quikstrike/treasury-analytics.html

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This question was answered in the Quantitative Finance group - key information was suggestion to look at: https://www.cmegroup.com/tools-information/quikstrike/treasury-analytics.html

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