Chart List

• Chart: Figure 1 Extension

  Extension of Figure 1 through 2024.

• Chart: Figure 1 Summary Statistics

  Descriptive statistics and implied-zero spread chart for Figure 1.

• Chart: Figure 1: 12-Month Interest Rates

  Replication of Figure 1 comparing option-implied rates, zero curve rates, and Treasury rates over 1996-2022.

• Chart: Figure 2 Extension

  Extension of cumulative strip and market return paths through 2024.

• Chart: Figure 2 Extension (Winsorized)

  Robustness version of the extended cumulative return figure with post-2022 strip return winsorization.

• Chart: Figure 2: Cumulative Returns

  Replication of Figure 2 showing cumulative strip and market returns over 1996-2022.

• Chart: Figure 3 Extension

  Extension of the holding-period volatility analysis through 2024.

• Chart: Figure 3: Volatility Across Holding Periods

  Replication of Figure 3 showing annualized volatility across holding periods from 1 to 36 months.