30 April 2009


Justin Schack

VP Market Structure Analysis

Joe Gawronski


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

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Rosenblatt’s Monthly Dark Liquidity Tracker Vol. XIII

"Teeming with things you can find in the dark
Dust in the light, falling through
Day after night, falling with you"

— Allan Carl Newman, 2005 (“Twin Cinema,” from The New Pornographers album “Twin Cinema”).

Dark pools lost market share for the second consecutive month in March. The portion of all US equity trades executed by the 18 venues we track declined to 8.36% last month from 8.74% in February. Average daily volume in non-displayed markets increased by a healthy 7.58% in March, but once again failed to keep pace with consolidated volume, which grew by 12.47% month-to-month. 

One potential factor behind the market-share slippage is volatility. The CBOE’s Volatility Index posted an average close of 44.8 on the month, down a paltry 1.8% from February and still at historically elevated levels. Another possibility is that high-frequency flows are driving much of the increase in consolidated volume, as traditional market participants such as long-only asset managers largely sit out this market. Although many non-displayed venues target high frequency players, and some have had a bit of success, generally this customer segment is under-represented in the dark-pool world relative to its dominance in the displayed markets.

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