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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% V31,665,697$31.26B$-2.74M$-4.17M$-4.07M$-3.72M$-3.14M-1.30 bps-26.0%
ETH/USDC 0.01% V34,235,970$13.23B$690.1K$518.3K$513.1K$520.7K$545.3K+0.39 bps+38.8%
ETH/USDC 0.05% V4717,562$6.44B$-774.0K$-1.06M$-966.9K$-921.5K$-1.31M-1.50 bps-30.0%
ETH/USDC 0.01% V41,515,644$4.90B$43.1K$-26.8K$-30.2K$-35.5K$-30.1K-0.06 bps-6.2%
ETH/USDC 0.30% V3190,454$3.72B$467.6K$240.2K$465.0K$405.8K$-163.1K+1.25 bps+4.2%
ETH/USDC 0.30% V4142,866$1.76B$-324.5K$-330.0K$-238.3K$-326.3K$-554.2K-1.35 bps-4.5%

Cumulative Markout PnL — ETH/USDC 0.01% V3 (365d)