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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% V34,600$116.88M$-4.6K$-13.3K$-13.5K$-4.4K$-4.4K-1.15 bps-23.1%
ETH/USDC 0.01% V316,960$30.88M$1.5K$936.61$844.51$1.2K$1.2K+0.27 bps+27.3%
ETH/USDC 0.01% V44,988$3.46M$120.17$71.42$75.03$119.20$119.20+0.22 bps+21.7%
ETH/USDC 0.30% V3452$2.76M$-553.88$-624.71$-467.87$-18.36$-18.36-1.69 bps-5.6%
ETH/USDC 0.05% V41,396$1.97M$-246.92$-377.21$-397.31$-141.39$-141.39-2.02 bps-40.3%
ETH/USDC 0.30% V4377$1.61M$-221.79$-279.53$-167.24$202.55$202.55-1.04 bps-3.5%

Cumulative Markout PnL — ETH/USDC 0.30% V3 (1d)