Generative modelling has seen enormous practical advances over the past few years. Evaluating the quality of a generative system however is often still based on subjective human inspection. To overcome this, very recently the research community has turned to exploring formal evaluation metrics and methods. In this work, we propose a novel evaluation paradigm based on a two way nearest neighbor neighborhood test. We define a novel measure of mutual coverage for two continuous probability distributions. From this, we derive an empirical analogue and show analytically that it exhibits favorable theoretical properties while it is also straightforward to compute. We show that, while algorithmically simple, our derived method is also statistically sound. In contrast to previously employed distance measures, our measure naturally stems from a notion of local discrepancy, which can be accessed separately. This provides more detailed information to practitioners on the diagnosis of where their generative models will perform well, or conversely where their models fail. We complement our analysis with a systematic experimental evaluation and comparison to other recently proposed measures. Using a wide array of experiments we demonstrate our algorithms strengths over other existing methods and confirm our results from the theoretical analysis.