29 May 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

“Now that you’ve got everybody you consider sharp
All alone, all together, all together in the dark"

— Matthew Berninger, 2007 (“Ada,” from The National’s album “Boxer”)

Dark pools regained their momentum in April, following two consecutive months of market-share declines. The portion of all US equity trades executed by the 18 venues we track was 8.73% last month, up from 8.36% in March. Aggregate volume for the group fell by 4.8% percent month-to-month, to 979.8 million shares per day. But it declined at a slower rate than that of consolidated volume, which was 8.8% lower in April but still quite robust at 11.2 billion shares per day. 

Once again, volatility likely is playing a role in the dynamics of the dark-pool market. The CBOE’s Volatility Index fell from 44.8 in March to 38.1 in April, a 15% decline and its first average monthly close below 40 since September. To be sure, the effect of volatility on the volumes of non-displayed markets is more muted today than it likely was in years past. As we have pointed out in previous reports, this is largely because the dark-pool universe has transformed during the past two years, with the result being that venues focused on institutional block crossing have been overshadowed by fast, algorithm-friendly pools with small average execution sizes. But unusually high volatility still seems to have some limiting effect on non-displayed volumes, and the VIX levels we saw during the height of the financial crisis certainly fit that category.

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