26 February 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

“You ask for walls, I'll build them higher
We'll lie in shadows of them all
I'd stand but they're much too tall, and I fall
February stars, floating in the dark"

— David Grohl, 2004 (“February Stars,” from the Foo Fighters album “The Colour and the Shape.”)

Dark pools in the US set their fourth straight monthly market-share record in January, amid a continued decline in volatility. The 17 non-displayed venues we track executed 10.34% of consolidated US equity volume last month, up from 10.15% in December. Aggregate dark-pool volume of 944.5 million shares per day increased 25.5% from the prior month, compared with a 23.3% increase in consolidated volume, to 9.13 billion shares per day (see “The Numbers” table on next page).