30 September 2009

Co-Authors

Justin Schack

VP Market Structure Analysis

Joe Gawronski

President

Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125

Inquiries to
globalexchangeanalysis@rblt.com

LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Well, you know the time has come
And you’re sorry ‘bout what you done
You should’ve never been playin’ with a gun
In those complicated shadows”

— Declan MacManus, 1995 (“Complicated Shadows,” from the Elvis Costello & The Attractions album “All This Useless Beauty”)

Dark pools set another volume record in August, as volatility in the equity market continued its return to pre-crisis levels. The 16 non-displayed venues we track executed 8.60% of consolidated US equity volume last month, up slightly from 8.52% in July and considerably higher than August 2008’s 7.67%. Consolidated volume grew at a healthy clip, rising by 8.2% month-over-month, to nearly 9.5 billion shares per day. But dark pool volumes increased even faster, growing 9.16% month-over-month, to 815.7 million shares per day (see “The Numbers” table on next page).

more let there be light »