21 August 2015

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Associate    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Laugh in the sunshine, sing Cry in the dark, fly through the night” —Robert Hunter, 1971 (“Birdsong” from the Jerry Garcia album “Garcia”; performed here by the Grateful Dead at Radio City Music Hall in 1980)


Dark-pool market share set a new record high in July amid flat volatility. We estimate that dark venues executed 17.80% of consolidated US equity volume, up 162 bps from June’s 16.18% (adjusted from 16.27%). Aggregate dark-pool volume increased 15.60% m/m, to 1.20bn shares per day, more than triple the 5.09% m/m gain in consolidated volume (see “The Numbers” table on next page)... Continue Reading

 

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