May 27, 2010

Co-Authors

Justin Schack

Director

Joe Gawronski

President and COO

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LET THERE BE LIGHT
Rosenblatt’s Monthly Dark Liquidity Tracker

"And I’ve lost my light
For I toss and turn, I can’t sleep at night"

— Ed Cobb, 1964 (from “Tainted Love,” a 1981 single by UK pop duo Soft Cell; originally recorded by 60ssoul artist Gloria Jones)

Dark pools in the US rolled to their second consecutive monthly market-share record in April, as volatility edged lower. The 17 non-displayed venues we track executed 11.46% of consolidated US equity volume last month, up from the previous record of 11.13 set in March. Aggregate dark-pool volumes were up 21%, to 1.12 billion shares, growing faster than the nearly 18% rise in consolidated trading activity (see “The Numbers” table on next page).