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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!

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2 Answers 2

up vote 5 down vote accepted

The delta factor you seek is the spot to futures price ratio without having to use all those parameters.

Now to answer your actual question:

Since you are getting futures data, you presumably have the tickers. You can infer the expiration date from the ticker.

Expiration dates are always on the third Friday of the month, and the ticker contains four letters. The first two letters are always SP. The next letter is a month code (H=March, M=June, U=Sep, Z=Dec). The final letter is a year.

Example: SPZ2 expires on Friday, Dec 21, 2012. "Z" tells you December, and "2" tells you 2012.

Note that you can infer $R_{div}$ from the futures contract price and the interest rates (which won't always be 1 month T-bills).

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Thanks for the lesson! Where would you find these data? Thomson-Reuters? Bloomberg? I have access to these, but never use them (I typically get my data from WRDS -- the Wharton R? Data System). –  Richard Herron Feb 19 '11 at 15:53
    
Bloomberg is my typical source, though Reuters, FactSet and many other systems have it. For interest rates, it is common to use LIBOR for about a year and the swap curve thereafter. I suggest contacting your data service rep for the tickers. –  Brian B Mar 10 '11 at 1:24
    
@richardh if you need any assistance with Bloomberg functions or tickers do let me know ;) anyway FYI: there's a very responsive Analytics team for 24 hour on help help. They have been very helpful to us so far. Much better than Reuters...no offense. So for this question, you can even shoot it to their port * risk team called Alpha. –  bonCodigo Jan 6 '13 at 23:11

Not sure this helps, but visit:

http://delayedquotes.cboe.com/new/options/options_chain.html?symbol=SPX&ID_NOTATION=8941848&ID_OSI=10614550&ASSET_CLASS=IND

and click on any option to see its Greeks.

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