We analyze the information content in volatility indices of international stock markets regarding current and future market conditions. We find strong negative relationships between changes in volatility indices and current market returns, as well as Granger causality running in both directions. Unfortunately, these correlations cannot be exploited, at least using linear models, to successfully forecast future realized volatility or future returns over long time horizons. Forecasts of future realized volatility obtained from volatility indices are as good as those obtained from historical volatility, but not good enough to be used for risk management. Volatility indices seem to reflect much better current market’s sentiment than any sensible expectation about future market conditions.