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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% V31,421,525$26.36B$-2.79M$-4.07M$-4.00M$-3.90M$-3.30M-1.52 bps-30.4%
ETH/USDC 0.01% V33,646,574$8.62B$505.6K$385.6K$390.5K$382.0K$457.4K+0.45 bps+45.3%
ETH/USDC 0.30% V3166,285$3.12B$326.3K$124.6K$312.8K$208.5K$96.8K+1.00 bps+3.3%
ETH/USDC 0.01% V41,252,282$2.67B$2.1K$-42.3K$-38.9K$-56.6K$-411.59-0.15 bps-14.6%
ETH/USDC 0.05% V4567,627$2.25B$-395.1K$-500.0K$-466.3K$-485.7K$-463.0K-2.08 bps-41.5%
ETH/USDC 0.30% V4129,802$1.66B$-337.5K$-337.2K$-246.0K$-342.8K$-528.9K-1.48 bps-4.9%

Cumulative Markout PnL — ETH/USDC 0.30% V3 (365d)