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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% V31,402,366$26.01B$-2.78M$-4.04M$-3.98M$-3.89M$-3.35M-1.53 bps-30.6%
ETH/USDC 0.01% V33,592,119$8.36B$486.3K$369.4K$372.3K$360.7K$427.8K+0.45 bps+44.5%
ETH/USDC 0.30% V3164,510$3.07B$327.5K$124.1K$304.3K$186.9K$32.8K+0.99 bps+3.3%
ETH/USDC 0.01% V41,228,925$2.52B$-5.8K$-49.2K$-46.3K$-66.2K$-15.8K-0.18 bps-18.4%
ETH/USDC 0.05% V4557,544$2.17B$-376.1K$-465.9K$-451.3K$-483.6K$-467.5K-2.08 bps-41.7%
ETH/USDC 0.30% V4129,069$1.66B$-336.9K$-336.7K$-246.6K$-344.3K$-534.1K-1.49 bps-5.0%

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