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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% V31,406,792$26.07B$-2.78M$-4.04M$-3.98M$-3.89M$-3.33M-1.53 bps-30.5%
ETH/USDC 0.01% V33,605,752$8.41B$489.4K$372.2K$375.1K$363.8K$432.8K+0.45 bps+44.6%
ETH/USDC 0.30% V3164,910$3.08B$328.3K$125.1K$305.2K$192.7K$42.9K+0.99 bps+3.3%
ETH/USDC 0.01% V41,235,259$2.55B$-4.4K$-48.2K$-45.4K$-64.8K$-13.0K-0.18 bps-17.8%
ETH/USDC 0.05% V4559,946$2.18B$-376.4K$-466.5K$-452.0K$-483.2K$-462.8K-2.08 bps-41.5%
ETH/USDC 0.30% V4129,215$1.66B$-336.9K$-336.8K$-246.6K$-344.0K$-533.4K-1.49 bps-5.0%

Cumulative Markout PnL — ETH/USDC 0.05% V3 (365d)