29 June 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

“The place I sought was far beneath the surface of the sea My sight was poor, but I was sure The sirens sang their song for me.”

— Tom Marshall, 1990, (“Bouncing Around the Room,” from the Phish album “Lawn Boy”)

The dark-pool world is getting more interesting by the day, as both competitive and regulatory developments capture the industry’s attention. We already touched in last month’s report on the developing brouhaha regarding so-called flash order types, through which exchanges and ECNs delay routing orders to better-priced away markets so that subscribers to the programs may have the opportunity to interact with those orders first. As the debate continues to heat up over flash orders, and the SEC considers potential new dark pool regulations (for more on this please see “Let There Be More Light?” on page 5), the competitive dynamics influencing non-displayed markets appear to be shifting yet again, shaking up the ranks of the country’s biggest dark venues. 

Overall, the 18 non-displayed markets we track executed 8.57% of consolidated US equity volume last month, down slightly from a revised 8.74% in April. Aggregate volume for the group fell by 1.49% month-to-month, to 965.5 million shares per day. But consolidated volume rose by 0.4%, to 11.26 billion shares per day, leaving dark pools with a smaller market share in May (see “The Numbers” table on next page). This occurred even as volatility — often an enemy of dark volumes — fell substantially. The average closing value of the CBOE’s Volatility Index declined by 16% last month, to 32.0, approaching levels not seen since before the financial crisis exploded in September. 

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