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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% V35,002$105.03M$-2.7K$-13.0K$-487.17$1.1K$-2.8K-0.05 bps-0.9%
ETH/USDC 0.01% V320,110$44.10M$3.9K$3.2K$3.8K$3.7K$2.7K+0.85 bps+85.1%
ETH/USDC 0.01% V45,937$4.76M$171.50$107.83$163.21$178.90$119.59+0.34 bps+34.3%
ETH/USDC 0.05% V42,207$3.95M$-512.67$-861.98$-415.28$-313.12$-1.2K-1.05 bps-21.0%
ETH/USDC 0.30% V3344$1.93M$-1.2K$-2.2K$-822.89$-797.18$-1.9K-4.26 bps-14.2%
ETH/USDC 0.30% V4245$1.50M$-1.1K$-1.9K$-625.89$-839.30$-1.3K-4.17 bps-13.9%

Cumulative Markout PnL — ETH/USDC 0.05% V3 (1d)