In a new study by Rosenblatt Securities, dark pools represented a record amount of U.S. equity trading market in January as volatility fell and a greater amount of business went to off-exchange venues, reported Bloomberg.
Based on data from 19 venues, dark pools took 14.3 percent of U.S. equity volume in January, up from December’s 13.3 percent. Aggregate volume was 921 million shares per day last month; this is a 15.68 percent month-over-month increase.
In addition, consolidated average daily volume rose 7.60 percent to 6.43 billion during the same time period.?
Credit Suisse Group AG?s Crossfinder?Plc stayed at the top spot where it’s been since May 2009. It had an?average daily volume of 120.9 shares last month (1.88 percent of consolidated volume), up from December’s 102.4 million shares. ?
In January, Barclays PLC (BARC)?s LX took jumped over Goldman Sachs Group Inc. (GS)?s Sigma X for the second spot.?
Justin Schack, a Rosenblatt managing director, wrote in the report that a segment of the?U.S. stocks traded in dark pools have seen ?strong inverse correlation? with the VIX as the Standard & Poor?s 500 started recovering from its 12-year low back in 2009.
He noted that in times of low volatility and stable prices, traders will utilize use off-exchange venues. Schack wrote in the report, “That effect was back in force last month after fading in the fourth quarter.??
This comes as the VIX fell 21 percent in January while the S&P 500 rose 5 percent.?
In other nuggets from the report, it disclosed that in January, 221 shares represented the average dark pool trade size, down from March 2009’s 443 share high. From dark pool??and exchange hidden orders, it comprised 18.9 percent of all U.S. equities volume for the last month.?