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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% V31,745,218$32.85B$-2.77M$-4.24M$-4.13M$-3.75M$-3.01M-1.26 bps-25.1%
ETH/USDC 0.01% V34,414,859$14.77B$759.8K$572.2K$566.5K$577.4K$620.5K+0.38 bps+38.3%
ETH/USDC 0.05% V4765,379$7.25B$-909.1K$-1.22M$-1.12M$-1.06M$-1.39M-1.54 bps-30.9%
ETH/USDC 0.01% V41,527,320$4.94B$45.2K$-24.6K$-28.1K$-33.5K$-27.4K-0.06 bps-5.7%
ETH/USDC 0.30% V3197,269$3.83B$463.3K$233.2K$463.4K$410.6K$-138.4K+1.21 bps+4.0%
ETH/USDC 0.30% V4147,188$1.79B$-332.7K$-338.5K$-247.1K$-332.2K$-555.2K-1.38 bps-4.6%

Cumulative Markout PnL — ETH/USDC 0.05% V4 (365d)