Emini, thanks pal.  Besides technicals, hope you've been reading the Bond Basis book as per our chat in the other thread...It allows for some pretty interesting arbitrage opportunity in treasuries if you read through and understand the whole chapter on Repo, Cheapest to Deliver, DV01s and the Basis calculations...I'm still learning that and have seen these cats I'm learning from making a killing off doing just that.  My other strategy is to keep track of the Repo rate, their Basis and the CTD on a daily basis and on excel graph it and get the trend and draw some analysis on Thursday afternoons.  And based on some of these opportunites am making money just by holding these treasuries overnight on Thursdays (getting 3 days of interest free...but making sure whatever I'm holding has a strong sell side bias and monitoring the positions like a hawk even though there is not that much of a chance here that the market would gap up like it does in stocks and FX).  Never attempt this on a strong upward trending chart though as it would wipe out whatever you make. 

And for the PnL, the whole last week was awesome.  Everyday was a 5 figure day but Friday just made my best day ever (and I've just been doing treasuries for the past 2 months now).  It definitely helps to coat-tail some of the big dogs/vets I have here.   BTW, 10Y treasuries was all over CNBC Friday and was glad I had my day on that...Can't wait to get back to work Monday and see if the same opportunity still persists. 

As for trading index futures, I may look into that, so would defn be picking your brain on that when I do start...Right now, I've still a lot to learn in treasuries (a total contrast from a strong trending market such as FX Spots whcih I did for the past 4 years).  Lets hope the same run from last week continues for us as the BEARs are beating Wall Street black and blue.