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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% V34,536$116.07M$-4.6K$-13.3K$-13.6K$-4.5K$-4.5K-1.17 bps-23.4%
ETH/USDC 0.01% V316,633$30.28M$1.5K$888.53$794.84$1.1K$1.1K+0.26 bps+26.3%
ETH/USDC 0.01% V44,896$3.00M$78.64$29.84$32.77$76.42$76.42+0.11 bps+10.9%
ETH/USDC 0.30% V3447$2.75M$-553.06$-624.07$-470.44$-22.99$-22.99-1.71 bps-5.7%
ETH/USDC 0.05% V41,380$1.96M$-246.78$-377.10$-397.26$-141.32$-141.32-2.02 bps-40.5%
ETH/USDC 0.30% V4371$1.58M$-258.36$-319.95$-206.82$163.25$163.25-1.31 bps-4.4%

Cumulative Markout PnL — ETH/USDC 0.01% V3 (1d)