That’s correct. The yield from holding any GM pool token is auto-compounded into the price of those GM tokens.
The yield comes from all the trading that takes place on GMX, both swaps and perpetual futures. And they really do a lot of volume: 170 Billion in aggregate trading volume. 1.32 Billion in volume on the GMX V2 pools, just in the last week. Very significant fees are being made too, as a result.
Here’s a great Dashboard with GMX metrics: https://dune.com/gmx-io/gmx-analytics