Make the spice bag: lay out a piece of muslin or cheesecloth. Lay the herbs and spices in the centre and gather the edges together to make a bag. Tie with kitchen string.
Heat the oil in a large saucepan or stock pot. Add the fish bones and heads and saute 2-3 minutes without browning. Add all the remaining ingredients and water, crushing the spice bag lightly to release the flavours.
Simmer, uncovered, 25 minutes, occasionally skimming off any foam. Line a colander with muslin or cheesecloth and strain out the stock.
You can use the stock right away or return it to the heat and reduce it to concentrate the flavour. It will keep in the fridge 4 days or the freezer for 4 months.