December 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 - European Edition


 

European dark pools lost market share in November, as volatility increased in the region. The 15 pools in our universe executed 1.99% of consolidated pan-European value traded last month, down from 2.29% in October. Aggregate turnover for the pools we track was €1.49 billion per day, down 3.07% from October. Consolidated value traded grew by 11.63%, to €74.92 billion per day. One housekeeping note: our universe this month includes two new venues, UBS MTF and Nasdaq OMX’s Nordic dark book, both of which registered modest volumes.

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