26 March 2009


Justin Schack

VP Market Structure Analysis

Joe Gawronski


Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125

Enquiries to

Rosenblatt’s Monthly Dark Liquidity Tracker Vol. XII

“Come closer and see
See into the dark
Just follow your eyes
Just follow your eyes”


— Robert Smith, 1980 (“A Forest,” from The Cure's album "Seventeen Seconds")

The portion of all US equity trades executed by dark pools declined slightly last month, to 8.74%, compared with a revised 8.87% in January. Overall, average daily volume in non-displayed markets increased by a healthy 14.5% in February, but failed to keep pace with the impressive 16.1% month-to-month growth in consolidated ADV. 

One potential factor behind the market-share slippage is volatility. The CBOE’s Volatility Index posted an average close of 45.6 on the month, up 2% from January.

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