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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% V31,977,678$38.07B$-3.31M$-4.89M$-4.57M$-4.27M$-3.36M-1.20 bps-24.0%
ETH/USDC 0.01% V34,877,610$18.96B$986.9K$768.1K$775.1K$780.4K$838.7K+0.41 bps+40.9%
ETH/USDC 0.05% V4939,936$11.28B$-2.99M$-3.44M$-3.17M$-2.96M$-2.82M-2.82 bps-56.3%
ETH/USDC 0.01% V41,523,840$4.94B$45.5K$-24.2K$-27.3K$-33.0K$-27.0K-0.06 bps-5.5%
ETH/USDC 0.30% V3212,350$4.72B$203.7K$-38.5K$242.1K$139.4K$-409.5K+0.51 bps+1.7%
ETH/USDC 0.30% V4154,096$1.80B$-427.2K$-445.6K$-317.8K$-406.6K$-595.6K-1.77 bps-5.9%

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