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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% V31,672,055$31.38B$-2.75M$-4.18M$-4.08M$-3.73M$-3.12M-1.30 bps-26.0%
ETH/USDC 0.01% V34,251,914$13.36B$695.0K$522.3K$516.2K$523.3K$552.9K+0.39 bps+38.6%
ETH/USDC 0.05% V4721,168$6.53B$-791.0K$-1.07M$-987.1K$-944.7K$-1.30M-1.51 bps-30.2%
ETH/USDC 0.01% V41,521,370$4.93B$45.3K$-24.6K$-28.1K$-33.6K$-27.6K-0.06 bps-5.7%
ETH/USDC 0.30% V3190,990$3.72B$467.3K$239.7K$463.4K$403.3K$-157.1K+1.25 bps+4.2%
ETH/USDC 0.30% V4143,160$1.76B$-325.0K$-330.5K$-238.8K$-327.1K$-552.8K-1.36 bps-4.5%

Cumulative Markout PnL — ETH/USDC 0.30% V4 (365d)