20 January 2017

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

“There’s a long black cloud a hanging in the sky Weather’s gonna break and hell’s gonna fly” —Woody Guthrie, c. 1939-1967 (“Black Wind Blowing,” from the Billy Bragg & Wilco album “Mermaid Avenue, Vol. 2”)


Dark pools executed 14.78% of US equity volume last month, down 119 bps from November’s 15.97% (adjusted from 16.12%). Dark-pool average daily volume dropped 19.49% m/m, to 1.0bn shares. Consolidated ADV fell by a lesser margin of 12.99% m/m (see “The Numbers,” next page)... Continue Reading

 

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