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Markouts Lab

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Per-swap markout PnL across V3 and V4 ETH/USDC pools, benchmarked against Binance ETH/USDC spot at 1-second resolution. The markout is computed as eth_delta × (ref_price(t+Δ) − swap_price), where swap_price is taken from the Swap event and already includes the LP fee. So the markout is net of fees: positive = LP's fee revenue exceeded LVR over that horizon; negative = LVR exceeded fees (LP lost net). Horizons: 0 = at swap block, 1blk = +12s, 1m / 5m / 60m = at swap block + delta.
PoolSwapsVolumeMO @0MO @1blkMO @1mMO @5mMO @60mMarkout Intensity @1mMO vs Fees Coverage @1m
ETH/USDC 0.05% V35,136$109.50M$-3.5K$-14.5K$-2.1K$788.26$-3.1K-0.19 bps-3.9%
ETH/USDC 0.01% V320,672$44.91M$3.9K$3.1K$3.6K$3.6K$2.6K+0.81 bps+81.3%
ETH/USDC 0.01% V46,086$4.82M$164.06$96.70$150.36$168.27$108.96+0.31 bps+31.2%
ETH/USDC 0.05% V42,270$4.01M$-518.86$-877.64$-427.62$-309.36$-1.2K-1.07 bps-21.3%
ETH/USDC 0.30% V3353$2.00M$-1.2K$-2.3K$-756.37$-717.36$-1.8K-3.78 bps-12.6%
ETH/USDC 0.30% V4250$1.55M$-1.1K$-1.9K$-580.53$-785.52$-1.3K-3.76 bps-12.5%

Cumulative Markout PnL — ETH/USDC 0.05% V4 (1d)