I can't find S&P 500 index (SPX) futures data with Greeks to create delta-hedged portfolios. Do these data exist? I have access to most of the common data sources.
In the meantime, I am trying to form so these delta=hedged portfolios "manually". Unfortunately, I can't find SPX data with maturity, so I use a continuous e-mini S&P 500 future from Datastream and form the delta-neutral portfolio based on guidance from Chapter 14 of Hull. \begin{equation} H_{fut} = H_{index} \exp \left( -(R_f - R_{div})T \right) \end{equation} where $R_{div}$ is the continuous dividend yield on SPX, $R_f$ is the one-month US Treasury bill, and $H$ are the dollar holdings of each asset. Of course this won't work without the right time to maturity. Is there a "correct" time to maturity to use with an e-mini? Or is there a better source for futures data? Thanks!