21 November 2016

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Vice President    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“I walk down to the ocean After waking from a nightmare No moon, no pale reflection Black mirror, black mirror” —Win Butler, 2007 (“Black Mirror,” from the Arcade Fire album “Black Mirror”)


Dark pools executed 15.81% of US equity volume last month, up 82 bps from September’s 14.99% (adjusted from 14.92%). Dark-pool average daily volume decreased 4.86% m/m, to 1.0bn shares. Consolidated ADV declined at a faster rate of 9.78%, amid tepid activity heading into the November 8 elections (see “The Numbers,” next page).... Continue Reading

 

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