This study investigates whether investor sentiment estimated by overnight returns of industry exchange‐traded funds (ETFs) affects Volatility Index (VIX) futures and stock index futures returns. Our empirical results indicate that high overnight returns of industry ETFs are associated with sentiment‐based trading. The results also show that investor sentiment, as measured by the relative comovements of overnight returns of industry ETFs, Granger‐causes VIX futures and stock index futures returns, but not vice versa. Finally, investor sentiment, as measured by the relative comovements, displays statistically and economically significant out‐of‐sample predictive power for VIX futures and stock index futures returns.