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arXiv · 2610.36392

The Term Structure of Implied Fee Rates in Liquidity Pools

Diogo Duarte·Lucas X. Ferreira·Emmanuel Gobet·Yuri F. Saporito
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Abstract

We develop a no-arbitrage framework to recover implied fee rates from option-implied information and quantify fee compensation for liquidity providers in automated market maker (AMM) pools. Expected accumulated fees equal the current pool value minus the risk-neutral value of its terminal payoff, reducing forward-looking LP compensation to pricing the LP payoff. We apply the framework to Uniswap v2 and Uniswap v3 ETH--USDC pools using a stochastic-volatility jump-diffusion model calibrated to Deribit options. Implied fee rates are positive, time varying, downward sloping in maturity, and highly sensitive to range design, with tighter near-the-money ranges earning larger implied returns.

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Diogo Duarte, Lucas X. Ferreira, Emmanuel Gobet, Yuri F. Saporito. 2026-10-26. The Term Structure of Implied Fee Rates in Liquidity Pools. https://arxiv.org/abs/2610.36392

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