Is 11% not a huge time value premium for something that expires in a month? Can we compare the time premium with the interest rate? I have traded options, but never futures. With options there several components that increase the premium besides just the time component.

According to [0] futures shouldn't have a time premium because both parties are obligated to to fulfill the contract.

As you stated in the OP, the 11% spread should be a "riskless" arbitrage. If so, I suspect that this spread will decrease.

[0] https://money.stackexchange.com/questions/12359/do-futures-h...