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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% V32,011,875$38.43B$-3.32M$-4.90M$-4.58M$-4.27M$-3.43M-1.19 bps-23.8%
ETH/USDC 0.01% V34,943,904$19.45B$1.01M$788.2K$794.0K$802.2K$855.8K+0.41 bps+40.8%
ETH/USDC 0.05% V4954,927$11.37B$-3.03M$-3.47M$-3.21M$-3.00M$-2.87M-2.83 bps-56.5%
ETH/USDC 0.30% V3216,462$4.97B$178.7K$-66.5K$219.5K$135.8K$-518.0K+0.44 bps+1.5%
ETH/USDC 0.01% V41,528,403$4.95B$47.4K$-22.3K$-25.5K$-31.2K$-25.2K-0.05 bps-5.2%
ETH/USDC 0.30% V4156,483$1.81B$-426.8K$-445.2K$-315.0K$-404.2K$-595.3K-1.74 bps-5.8%

Cumulative Markout PnL — ETH/USDC 0.01% V4 (365d)