November 23, 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

“What you got buried in your backyard?
What secret do you sleep with when the black moon come?”

— Christopher Robinson, 1992 (“Black Moon Creeping,” from the Black Crowes album “The Southern Harmony and Musical Companion.”)

Dark pools in the US hit a second consecutive market-share record in October. The 16 non-displayed venues we track executed 12.57% of consolidated US equity volume last month, up from 12.08% in September. Aggregate dark-pool volumes were up 12.76% month-to-month, to 984.4 million shares per day, compared with an 8.37% rise in consolidated volume (see “The Numbers” table on next page).

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