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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% V31,184,767$23.14B$-2.71M$-3.90M$-3.81M$-3.69M$-3.32M-1.65 bps-32.9%
ETH/USDC 0.01% V32,977,243$5.59B$408.9K$339.5K$340.6K$334.6K$331.4K+0.61 bps+60.9%
ETH/USDC 0.30% V3136,235$2.07B$290.2K$124.7K$213.9K$145.6K$-16.5K+1.03 bps+3.4%
ETH/USDC 0.05% V4441,913$1.15B$-158.0K$-220.0K$-209.3K$-212.7K$-203.3K-1.82 bps-36.5%
ETH/USDC 0.01% V4957,696$1.04B$26.5K$10.9K$10.7K$7.9K$6.1K+0.10 bps+10.4%
ETH/USDC 0.30% V4101,890$1.02B$-204.6K$-245.3K$-211.7K$-246.3K$-374.5K-2.07 bps-6.9%

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