I wanted to see what I could learn about the differences between the prices of the two at any give them. Through observation I gathered a few bits of information:
1. Quarterly almost always trade at a premium against spot price. Typically 2.5%
2. Observation 1 becomes untrue in conditions reaching parity and temporarily dipping below by < 0.5%.
3. Price movements are exaggerated in ; and .
4. price movements are more correlated to BTCCNY than BTCUSD .
5. price sometimes leads spot price.
From these observations I thought about two trading strategies. The first would deal with arbitrage in calculating the mean differential and using automated trading to take advantage of deviations in the premium. This would have to be automated and I am certain someone else already has advanced bots doing the work already.
The second, more useful strategy for the human investor is to look for divergences on the swing timeframes. In this example I went back through the last run and analyzed the 4 hour chart for moments of consolidation. In two cases, on May 23 and June 10, BTCUSD spot price was in a tight range that broke the spot price high after the had broken their high.
Going back farther on the chart I did see exampled of false breakouts where broke their high but then neither moved with much strength. There are also many examples of BTCUSD spot breaking its high at the same time break theirs which is not a useful divergence. This strategy is also only useful in periods of bullishness due to the typical forward looking premium so opportunities will be scarce.
By incorporating additional (price patterns or indicators) these divergences can serve as extra confirmation of breakout opportunities.