September 22, 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

 

European dark pools gained market share in August, as venues operated by banks and big brokers rebounded from a weak July. The 13 non-displayed venues we track executed 2.24% of consolidated European value traded last month, up from 2.16% in July. Aggregate value traded for the pools in our universe was down 10.37% month-to-month, to €1.19 billion per day. But consolidated European turnover fell by 13.37%, to €53.05 billion per day, resulting in a greater portion of overall activity occurring in the dark. Looking at share volume, the gains of non-displayed venues were even more pronounced. The pools we track executed 2.53% of shares traded in Europe lastmonth, up from 2.21% in July (see “Dark Pool Activity in Europe” table on next page).

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