24 November 2014

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Associate    
 

Andrew Upward

Vice President    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Every day my clouds are gray It takes you to roll all those clouds away” —Freddie King & Sonny Thompson, 1964, (“Someday After Awhile,” Federal Records single, performed here by Eric Clapton)


Dark-pool market share suffered last month amid big jumps in market-wide volume and volatility. We estimate that dark pools executed 15.23% of consolidated US equity volume in October, down 77 bps from September’s adjusted 16.00%. Aggregate dark-pool volume grew approximately 22.30% m/m, to 1,190.0mn shares per day, a smaller increase than the 28.48% m/m expansion of consolidated volume... Continue Reading

 

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