April 27, 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

“But then the night gets dark, all is still
Pray for me, I know you will”

— Chuck Auerbach, 2003 (“Hard Row,” from the Black Keys album “Thickfreakness.”)

Dark pools in the US reached an all-time record high market share in March, amid a big decline in volatility. The 17 non-displayed venues we track executed 11.13% of consolidated US equity volume last month, up from 9.99% in February. Aggregate dark-pool volume rose by 8.32% month over month, to 923.8 million shares per day, compared with a 2.79% decrease in consolidated volume, which came in at 8.3 billion shares daily (see “The Numbers” table on next page).