US dark pools saw market share reach a second consecutive month of record market share in October 2010.
According to boutique agency broker Rosenblatt Securities' monthly report ”Let there be light', that tracks the movement of liquidity in dark trading, the 16 non-displayed venues that it follows executed 12.57% of consolidated US equity volume in October, up from 12.08% in September while aggregate volumes were up 12.76% month on month to 984.4 million shares per day standing against a consolidated rise in US volumes of 8.37%.
Rosenblatt noted that declining volatility was a likely cause of the rise in dark pool share as the Chicago Board Options Exchange's volatility Index had fallen 9.5% month on month in October to 20.4.
The biggest winner of the dark pools was Credit Suisse's Crossfinder, the largest US dark pool by volume which saw its average daily volume rise 25.82% month on month and 26.88% year on year to 225.6 million average daily volume (ADV) of shares traded. That makes it almost double the size of Goldman Sachs' Sigma X at 126 million ADV, the second largest dark pool in the US which increased 11% against September.
BIDS saw growth of 29.92% taking its ADV to 33 million and placing it higher than Citi Match, Instinet CBX and ITG Posit's dark pools, making it the 9th largest in the country. Barclays LX dark pool grew 18.18% month on moth to become the 6th largest dark pool with 65 million ADV.
The consolidated US volume traded on dark pools was 16.24% of total consolidated volume, up from 16.03% in September, of which 3.67% was from exchange-based dark orders, down from 3.95% in September.
Block-focussed non-displayed liquidity pools Pipeline and Liquidnet saw 24% and 27.94% growth respectively month-on-month, following declines earlier in the year.