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Fixed Income

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Appendix

Metrics used

The chartpack quotes STW (spread over the Treasury zero curve at the to-worst date) and YTW (yield to worst). The free ICE BofA series on FRED publish OAS (option-adjusted spread) and effective yield instead — the same family of conservative measures, but OAS additionally strips out the value of embedded call options, so high-yield OAS prints somewhat tighter than STW. Levels differ slightly; percentile and regime behaviour track closely. FRED publishes no index durations, so duration columns and charts are omitted here.

Index methodology — duration-weighted transition

J.P. Morgan is reframing EM credit index spreads and yields: from the legacy “superbond” method (all constituent cashflows aggregated and discounted as one instrument, priced at offer) to duration-weighted averages (market value × duration weights, priced at mid), rolled out across the EMBI/CEMBI/JACI families in 2025. The official superbond statistics were slated for discontinuation during 1H 2026, so the tables below — J.P. Morgan’s own published comparison of the two methods, as of 30 Sep 2024 — are reproduced here as an archival reference to the transition rather than a live comparison.

Current (Superbond)

  • High precision (IRR-based), but difficult to model and attribute
  • Skew from defaulted names (EMBI, JACI); no haircuts applied to future cashflows
  • Yields and spreads calculated using offer price

Future (Duration-Wgt.)

  • Ease of replication and attribution
  • Mitigates the impact of inflated spreads of non-performing instruments with longer recovery cycles
  • Comparable with other major fixed income benchmarks
  • Yields and spreads based on mid price
EMBI series — existing vs. new risk metricsStatic replica of the chartpack appendix · Source: J.P. Morgan, as of 30 Sep 2024
STW (bps)Yield to WorstAverage Life to Worst
SuperbondDur-WgtDiff (bps)SuperbondDur-WgtDiff (bps)SuperbondMkt Val-WgtDiff (yrs)
EMBIG Div361254-1077.496.45-10411.2311.270.04
EMBIG Div IG11511615.125.12013.7313.04-0.69
EMBIG Div HY660447-21310.48.3-2109.259.540.29
EMBIG Div ex Default254219-356.456.11-3411.8511.46-0.39
EMBIG Div ex Default HY422370-528.077.56-5110.119.78-0.33
EMBIG322228-947.116.2-9111.6111.53-0.08
CEMBI series — existing vs. new risk metricsStatic replica of the chartpack appendix · Source: J.P. Morgan, as of 30 Sep 2024
STW (bps)Yield to WorstAverage Life to Worst
SuperbondDur-WgtDiff (bps)SuperbondDur-WgtDiff (bps)SuperbondMkt Val-WgtDiff (yrs)
CEMBI Broad Div214205-95.925.83-96.516.04-0.47
CEMBI Broad Div IG12713145.115.1437.326.96-0.36
CEMBI Broad Div HY384361-237.547.31-235.24.71-0.49
CEMBI Div210205-55.885.82-66.55.87-0.63
CEMBI Broad210194-165.95.74-166.766.27-0.49
CEMBI206197-95.845.76-86.65.9-0.7

Updates

The full gap ledger vs the reference chartpack lives in DIFFERENCES.md in the repo.

Public Equity

US Index Board

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US Sectors

S&P 500 sectors via the SPDR sector ETFs — the closest free proxy for sector index performance.

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Watchlist

Click a row for the price chart. Saved in this browser.
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Source: Yahoo Finance via the app’s relay. Quotes carry Yahoo’s own delay (up to about 15 minutes) plus up to 2 minutes of edge caching; the As of column gives each quote’s time in SGT.

Return columns are total returns (dividend-adjusted) where Yahoo provides adjusted closes; levels and 52-week stats are price.

Options

Volatility — VIX

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Source: Cboe delayed quotes (15-minute delay), Yahoo Finance for VIX history.

Notes

Lessons: holding options through earnings

Parked 30 Sep 2026 from a chat about holding MU calls into earnings with 2 days to expiry and an implied move of about ±7%.

1. A beat is not a rally

  • An earnings report has two halves: the results (last quarter) and the guidance (next quarter).
  • The share price reacts mostly to guidance. A company can beat and still fall.
  • “They will beat” is a view on the results only. It is not a view on the price.

2. Implied move

  • The options market prices the size of the earnings swing in advance, up or down. It says nothing about direction.
  • Rough read: price of the at-the-money straddle for the first expiry after the report, divided by the share price.
  • Before the event, turn it into money: what does my position gain or lose at plus and at minus the implied move?

3. Short DTE through an event

  • With 2 days left there is no time to recover. A dip that reverses next week still expires the option worthless.
  • Being right on the story and wrong on the timing pays the same as being wrong.
  • A shareholder can sit through a bad day. A 2 DTE option holder cannot.

4. IV crush

  • Implied volatility builds into the report and collapses right after it, once the uncertainty is gone.
  • A long option can lose money with the direction right, when the move is smaller than what was priced in.
  • To win as a buyer, the stock has to move more than the implied move, not only the right way.

5. Rolling out buys time, not safety

  • Rolling: close the near contract, open the same kind of contract at a later expiry.
  • The later contract still spans the report, so it still takes the swing and the volatility drop.
  • It costs more premium (more time value) and pays the bid-ask spread twice. Spreads are wide before earnings.

6. If the risk is too big

  • The clean answers are to close, to cut size, or to cap the loss with a spread.
  • Rolling means the earnings bet is still on, with more room to be wrong on timing.
  • Size the position so the implied move against it is a loss that can be lived with.

Cheat sheet: the four basic positions

Parked 4 Oct 2026 from Zac's notebook. Theta and gamma are the two sides of one trade: the option buyer pays time decay to own gamma, the option seller collects time decay and is short gamma.

Long and short calls and putsPer contract, at expiry for profit and risk · K = strike, P = premium
ThetaGammaOption gives the right toYou (position)Max profitMax risk
Long callBleedEarnBuyBuy the optionUnlimitedOption premium
Long putBleedEarnSellBuy the optionK − P (stock to zero)Option premium
Short callEarnBleedBuySell the optionOption premiumUnlimited
Short put ★EarnBleedSellSell the optionOption premiumK − P (stock to zero)

How to read it

  • Theta: a long option loses value every day it is held (bleed); the seller collects that decay (earn).
  • Gamma is earned through hedging: a long-gamma holder re-hedges delta by selling into rallies and buying into dips, which locks in profit when the stock moves. The short side does the opposite and loses on big moves.
  • “Right to” belongs to the contract, so it is the same for long and short. The seller of a call has the duty to sell if exercised; the seller of a put has the duty to buy.
  • Buyers risk only the premium. Sellers keep at most the premium and carry the big risk: unlimited on a short call, the strike less the premium on a short put.

Read next

Iron condor (to read up)

  • What it is: sell an out-of-the-money put spread and an out-of-the-money call spread on the same expiry. Four legs, one net credit.
  • Why it follows from the lessons above: it is the defined-risk way to sell an implied move that looks too rich, the other side of lesson 4.
  • To work out: maximum profit (the credit), maximum loss (wing width minus the credit) and the two break-evens.
  • To work out: where the short strikes sit against the implied move, and what a gap through one wing costs.
  • To work out: what IV crush, time decay and early assignment each do to it, and how it compares with an iron butterfly and a short strangle.
  • Practice: build one in OVME and shock it in OSA (Bloomberg Course, week 7).

Study notes, not advice. New lessons get their own dated block above Read next.

Portfolio

Format replica of the portfolio-positioning chartpack (“Corp RPs” page): a model portfolio built from ETF sleeves is compared against a benchmark ETF, entirely from free price data. Holdings-level sections of the original (key-rate durations, issuer concentration, bonds bought/sold, credit curves, ex-ante VaR) need portfolio holdings and a risk model — impossible from public data, so this page works in return space instead. Edit the sleeves below; everything recomputes. Saved in this browser.

Portfolio in scope

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Glossary — scenario descriptions

Source: Yahoo Finance daily dividend-adjusted closes via the app’s own relay, so all returns here are total returns. Portfolio series assumes daily rebalancing to the target weights; stress windows are buy-and-hold. This is a strategy sandbox, not an accounting of real holdings.