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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% V3741,438$19.35B$-3.09M$-4.12M$-4.07M$-3.92M$-3.57M-2.10 bps-42.1%
ETH/USDC 0.01% V31,773,642$3.16B$226.6K$186.3K$183.9K$184.7K$183.3K+0.58 bps+58.3%
ETH/USDC 0.30% V377,304$658.84M$107.4K$51.7K$79.2K$83.9K$46.3K+1.20 bps+4.0%
ETH/USDC 0.01% V4628,157$586.43M$15.7K$7.2K$7.0K$6.4K$2.4K+0.12 bps+12.0%
ETH/USDC 0.30% V450,855$466.15M$-143.3K$-145.1K$-133.4K$-150.1K$-192.1K-2.86 bps-9.5%
ETH/USDC 0.05% V4239,398$387.56M$-76.8K$-101.0K$-101.3K$-106.2K$-86.8K-2.61 bps-52.3%

Cumulative Markout PnL — ETH/USDC 0.30% V3 (180d)