24 November 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

“One little star, smiling tonight Knows where you are Stay, little star, steady and bright To guide me afar” —Gillian Welch, 2001 (“Dear Someone,” from the album “Time: The Revelator”)


Dark-pool market share rose sharply in October as volatility declined from its August- September spike. We estimate that dark venues executed 17.43% of US equity volume last month, up 124 bps from September’s 16.19% (adjusted from 16.25%). Total dark- pool volume increased 4.85% m/m, to 1.25bn shares per day, while consolidated volume declined 2.60% m/m (see “The Numbers,” next page)... Continue Reading

 

more let there be light »