27 October 2015

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Associate    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Many times I’ve often prayed In the darkness of my night In the brightness of my day” —Bob Dylan, 1963 (“Girl From the North Country,” from “The Freewheelin’ Bob Dylan.”)


Dark-pool market share fell in September as volatility rose. We estimate that dark venues executed 16.25% of US equity volume last month, down 33 bps from August’s 16.58% (adjusted from 17.05%). Total dark-pool volume shrank 9.16% m/m, to 1.19bn shares per day, while consolidated volume declined 7.32% m/m (see “The Numbers,” next page)... Continue Reading

 

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