August 24, 2010

Co-Authors

Justin Schack

Director

Joe Gawronski

President and COO

Rosenblatt Securities Inc.
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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

"They were hiding behind hay bales
They were planting in the full moon
They had given all they had for something new
But the light of day was on them
They could see the thrashers coming
And the water shone like diamonds in the dew"

— Neil Young, 1979 (“Thrasher,” from the album “Rust Never Sleeps.”)

Dark pools executed a greater share of US equity trades last month as volatility declined from June levels. The 16 non-displayed venues we track executed 10.86% of total volume in July, up from a revised 10.45% in June and the third-highest market share ever for the group. The bad news is that non-displayed venues are taking a bigger slice of a shrinking pie. Aggregate dark-pool volume was 892.6 million shares per day in July, down 8% from the previous month’s 969.8 million. Consolidated volume declined by 11% during the same period and, more significantly, was off 6% year-over-year (see “The Numbers” table on next page).  August consolidated activity is on pace to fall even more dramatically (~35% sequentially and ~50% YOY), suggesting something beyond just the typical summer doldrums.

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