26 March 2009

Co-Authors

Justin Schack

VP Market Structure Analysis

Joe Gawronski

President

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

“Come closer and see
See into the dark
Just follow your eyes
Just follow your eyes”

 

— Robert Smith, 1980 (“A Forest,” from The Cure's album "Seventeen Seconds")

The portion of all US equity trades executed by dark pools declined slightly last month, to 8.74%, compared with a revised 8.87% in January. Overall, average daily volume in non-displayed markets increased by a healthy 14.5% in February, but failed to keep pace with the impressive 16.1% month-to-month growth in consolidated ADV. 

One potential factor behind the market-share slippage is volatility. The CBOE’s Volatility Index posted an average close of 45.6 on the month, up 2% from January.