24 March 2010

Co-Authors

Justin Schack

Director

Joe Gawronski

President and COO

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

"I saw you standing in the corner
On the edge of a burning light
I saw you standing in the corner
Come to me again in the cold, cold night"

— Jack White, 2003 (“In the Cold, Cold Night,” from the White Stripes album “Elephant.”)

Dark pools in the US lost market share last month for the first time since September, amid a rare rise in volatility. The 17 non-displayed venues we track executed 9.99% of consolidated US equity volume in February, down from a record 10.34% in January. Aggregate dark-pool volumes fell by 10.52%, to 852.8 million shares per day, at a greater rate than the 6.48% decline in consolidated average daily volume(see “The Numbers” table on next page).