17 September 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

"Don't wait too long to come home I will leave the front light on. The night is our own, don't wait too long."

— Brian Fallon, 2008 ("Miles Davis and the Cool," from the Gaslight Anthem album "The '59 Sound.")

Dark pools in the US picked up significant market share in August, as volatility and volume both fell. The 16 non-displayed venues we track executed 11.26% of consolidated US equity volume last month, up from 10.86% in July. That’s the second-highest market share registered by our universe since we began tracking dark pools in February 2008, and within spitting distance of April’s all-time high of 11.46%. Aggregate dark-pool volumes were off 9.17% month-to-month, to 810.9 million shares per day, but consolidated average daily volume declined at a faster rate, losing 12.36% to settle at 7.2 billion.

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