Record levels of volatility didn’t frighten traders away from dark pools last month. Dark pool market share rose 2.3 percent in October from September, according to volume estimates consultancy TABB Group released this week. October dark pool volume, meanwhile, grew more than 4 percent from September.
Given the increase in volatility in October, trading could be treacherous, trading pros report. Still, they had a job to do and were compelled to access liquidity from wherever they could find it-including dark pools.
“Traders have reached a point where they just want as much access to liquidity as possible,” said Cheyenne Morgan, a research analyst for TABB who compiles its monthly LiquidityMatrix. “I think [October’s dark pool] volumes are in line with expectations.”
Traders executed 7.65 percent of total equities volume in dark pools during October, TABB reported. That figure compares to the 7.48 percent of equities volume that traded in dark pools for September.
The TABB numbers include the top 14 dark pools-broker and agency-and do not include unreported dark volume. The figures showed that single-counted dark pool volume on average for October reached 810 million shares per day, compared to 779 million in September.
For volatility, the Chicago Board Options Exchange’s volatility index-or VIX-averaged 61.2 for October, after averaging 30.2 in September. When the VIX measures at least 25, market conditions are generally considered volatile.
