June 15, 2010

Co-Authors

Justin Schack

Director

Joe Gawronski

President and COO

Rosenblatt Securities Inc.
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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

“Somewhere there is some place that one million eyes can’t see
And somewhere there is someone who can see what I can see"

— Jim Kerr, 1982 (“Someone, Somewhere in Summertime,” from the Simple Minds album “New Gold Dream”)

The market share of US dark pools fell sharply last month, as volatility spiked to a 12-month high and the May 6 “flash crash” caused complications for some venues. The 17 non-displayed venues we track executed 10.28%of consolidated US equity volume last month, down from April’s record-high of 11.46%. Aggregate dark-pool volume increased by 10.7%, to 1.24 billion shares per day, but failed to keep pace with the 23.49% growth of consolidated volume, which reached a lofty 12.1 billion shares per day in May (see “The Numbers” table on next page).