28 July 2009


Justin Schack

Vice President

Joe Gawronski

President and COO

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

Inquiries to

Rosenblatt’s Monthly Dark Liquidity Tracker

“Shadows are falling and I’ve been here all day
It’s too hot to sleep, time is running away
Feel like my soul has turned into steel
I’ve still got the scars that the sun didn’t heal
There’s not even room enough to be anywhere
It’s not dark yet, but it’s getting there”
—Bob Dylan, 1997, (“Not Dark Yet,” from the album “Love and Theft”)


As volatility continued to decline in June, the share of US equity trading executed by dark pools increased slightly. The 16 non-displayed markets we track  executed 7.82% of consolidated US equity volume last month, up slightly from 7.71% in May. Aggregate volume for the group fell by 13% month-to-month, to 754.2 million shares per day. But consolidated volume declined by 14%, to 9.6 billion shares per day, giving dark pools a larger market share in June (see “The Numbers” table on next page).

The continued decline in volatility could be one reason for dark pools’ market-share gains. The average closing value of the CBOE’s Volatility Index declined by 9% last month, to 29.1, its lowest average monthly close since August, before Lehman Brothers collapsed and the credit crisis metastasized.

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