I don't store or use margin data
Fixed and closed
The chart isn't vol normalised: breakout had a higher allocation.
But we're talking about two different things: the SR of a single...
This makes sense (to me at least)
I'm guessing that the OP must be talking about spot forex (given where he's posted, and that this is kind of The Big Issue with spot...
I'd certainly only calculate carry on end of day prices, since these are synchronised, and having synchronised prices is essential.
I just added this comment to that thread, as I've now re-read Lo's paper:
"Incidentally you made a mistake with Los formula - you are...
IMHO with listed options you're not trying to do 'pricing model' arbitrage as you describe. Instead you're trying to better predict the...
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