23 December 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

“The streetlights’ glow comes and goes When the sun comes back As we all can plainly see” —Jeff Tweedy, 2007 (“Side With the Seeds,” from the Wilco album “Sky Blue Sky”)


Dark-pool market share rose last month as market-wide volume and volatility both sagged. We estimate that dark venues executed 15.94% of consolidated US equity volume in November, up 60 bps from October’s adjusted 15.34%. Aggregate dark-pool volume fell approximately 17.98% m/m, to 983.2mn shares per day, while consolidated US equity volume declined by 21.04% m/m (see “The Numbers” table on next page).... Continue Reading

 

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