30 September 2009
VP Market Structure Analysis
Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125
LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker
“Well, you know the time has come
And you’re sorry ‘bout what you done
You should’ve never been playin’ with a gun
In those complicated shadows”
— Declan MacManus, 1995 (“Complicated Shadows,” from the Elvis Costello & The Attractions album “All This Useless Beauty”)
Dark pools set another volume record in August, as volatility in the equity market continued its return to pre-crisis levels. The 16 non-displayed venues we track executed 8.60% of consolidated US equity volume last month, up slightly from 8.52% in July and considerably higher than August 2008’s 7.67%. Consolidated volume grew at a healthy clip, rising by 8.2% month-over-month, to nearly 9.5 billion shares per day. But dark pool volumes increased even faster, growing 9.16% month-over-month, to 815.7 million shares per day (see “The Numbers” table on next page).
more let there be light »