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US Securities Volumes

Let There Be Light - US Edition

January 28, 2019

• Dark pools executed approximately 12.76% of US equity volume last month, down 120 bps from November’s 13.97%, and an eight-year low
• Dark-pool average daily volume rose 9.34% m/m, to 1.18 billion shares, but consolidated ADV grew by a greater rate of 19.66% m/m
• Increased volatility contributed to gains by market-maker dark pools
• Block-focused venues were among the pools with the biggest losses
• Hidden orders on lit markets executed 8.03% of US volume in December, down 56 bps m/m

• Dark-pool market share dropped to 14.07% in 2018, the lowest since 2010
• Dark pools are also making up a smaller portion of off-exchange volume as market share from retail order flow internalized by market makers increases
• Independent/agency dark-pool market share fell to a ten-year low
• The percentage of dark-pool volume executed as a block increased to 9.45% in 2018, despite the increase in volatility
• We provide commentary on how regulatory changes will impact dark volumes in the coming year

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