23 September 2011


Justin Schack

Managing Director

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

“We fell up, not to see the sun gardening at night just didn’t grow”

—Michael Stipe, 1982 (“Gardening at Night,” from the REM EP “Chronic Town.”)

The market share of dark pools in the US fell to a 12-month low in August, even as their aggregate volumes surged amid highly volatile trading. The 18 non-displayed venues we track executed 11.26% of consolidated US equity volume last month, down sharply from an adjusted 12.51% in July. Aggregate dark-pool volumes were up 31.24% month-to-month, to 1.18 billion shares per day, the second-highest total on record (only May 2010’s 1.24 billion is higher). But even that strong volume growth failed to keep pace with the 45.92% increase in US consolidated volume, which hit 10.4 billion shares per day last month (see “The Numbers” table on next page).

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