December 21, 2010

Co-Authors

Justin Schack

Director

Joe Gawronski

President and COO

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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“All the pictures had
All been washed in black
Tattooed, everything"

— Eddie Vedder, 1991 (“Black,” from the Pearl Jam album “Ten”)

Dark pools in the US lost market share in November for the first time in six months. The 16 venues we track executed 12.17% of consolidated US equity volume last month, down from a record 12.57% in October. Aggregate dark-pool volumes were down 4.87% month-to-month, to 936.4 million shares per day, compared with a 1.77% decline in consolidated volume (see “The Numbers” table on next page).

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