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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% V3480,773$12.69B$-1.92M$-2.77M$-2.87M$-2.81M$-3.17M-2.26 bps-45.2%
ETH/USDC 0.01% V31,262,185$2.52B$200.5K$166.8K$167.3K$164.1K$161.7K+0.66 bps+66.4%
ETH/USDC 0.01% V4437,268$397.05M$19.6K$14.9K$14.8K$14.6K$10.4K+0.37 bps+37.4%
ETH/USDC 0.30% V346,579$335.94M$-61.9K$-90.7K$-77.7K$-94.8K$-142.3K-2.31 bps-7.7%
ETH/USDC 0.30% V431,119$279.80M$-90.8K$-118.9K$-109.3K$-129.1K$-147.2K-3.91 bps-13.0%
ETH/USDC 0.05% V4153,952$236.22M$-34.7K$-50.9K$-51.6K$-56.5K$-39.0K-2.18 bps-43.7%

Cumulative Markout PnL — ETH/USDC 0.05% V3 (90d)