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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% V3444,212$11.96B$-1.75M$-2.50M$-2.62M$-2.62M$-3.26M-2.19 bps-43.9%
ETH/USDC 0.01% V31,171,804$2.31B$184.6K$154.9K$155.0K$152.4K$148.1K+0.67 bps+67.0%
ETH/USDC 0.01% V4394,344$360.81M$16.2K$11.9K$12.0K$11.5K$6.5K+0.33 bps+33.1%
ETH/USDC 0.30% V343,160$317.27M$-57.2K$-83.3K$-74.5K$-94.4K$-159.6K-2.35 bps-7.8%
ETH/USDC 0.30% V428,390$267.72M$-89.9K$-116.7K$-109.7K$-130.9K$-157.4K-4.10 bps-13.7%
ETH/USDC 0.05% V4144,877$227.72M$-33.7K$-48.7K$-50.2K$-56.3K$-41.8K-2.21 bps-44.1%

Cumulative Markout PnL — ETH/USDC 0.01% V3 (90d)