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Inferring Futures Expiries and Delta-Hedge Factors for S&P 500

Article Quant Q&A · Author: Richard Herron
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Summary

The discussion addresses how to construct a delta-hedged portfolio using S&P 500 index and futures data when a data source provides a continuous E-mini series without an explicit maturity. It suggests inferring a listed contract’s expiration from its ticker month and year codes, then using the spot-to-futures price ratio as the delta factor. This avoids directly estimating the factor from dividend yield, funding rate, and time to maturity.

The replies also note that the dividend yield can be inferred from futures prices and interest rates, which need not be limited to one-month Treasury bills. A separate reply points to an options chain as a place to view option Greeks. The discussion does not give a complete data-source comparison or address how to handle continuous-contract rolls, adjustments, or contract-specific details; ticker conventions and expiration rules should therefore be checked for the relevant instrument and market period.

Key ideas

  • A futures ticker can encode the contract month and year, which helps identify its expiry.
  • The spot-to-futures price ratio provides the delta factor for relating index and futures holdings.
  • Dividend yield can be inferred from futures prices and interest rates.
  • A continuous futures series may not provide the maturity information needed for a contract-level hedge.

Tags

FuturesOptionsDerivatives pricingPortfolio construction
Full text
# Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures


# Where to find Greeks for futures to form delta-hedged futures portfolio of S&P 500 index/futures












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!

## Answer by Brian B (score 7, accepted)

https://quant.stackexchange.com/a/507

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).

## Answer by user59 (score 1)

https://quant.stackexchange.com/a/510

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.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.