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This paper studies the interdependencies between the VIX futures market and the S&P500 and VIX options markets using a model‐free pricing method for VIX futures. We show that the replication strategy for the VIX futures greatly deviates from observed prices. Limited strike ranges do not suffice to explain these deviations, whereas the options’ bid–ask spreads can explain most of it. After controlling for the spreads, we find a lead–lag structure between markets segmented by product, not by its underlying. If options markets imply higher volatility risks than VIX futures, options prices in both markets adjust and vice versa.

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