One of my favorite Twitter follows @LadyFOHF shared the below scatter chart from Morgan Stanley that attempted to map areas of the global market that were both cheap (valuation ranks at the lower end of its 10-year history) and defensive (a low or negative correlation to global equities).
But an investor cannot invest in the VIX Index. Rather an investor can buy or sell the consensus view of where the VIX will be, most easily through VIX futures or ETPs (for more details on the VIX term structure, take a look at a past post here).
VIX Futures have Diverged
The below looks at the rank of historical 2nd month VIX futures contract prices (i.e. where consensus views the VIX as being when the 2nd closest VIX future contract matures - which currently makes up the largest holding of VIX ETPs) and we see a different picture. As of Friday's close, the second month contract was "only" in the 30th percentile in terms of price at a value of 16.375, more than 35% higher than the VIX Index itself.
VIX Futures Rank Divergence vs Future Returns
This 20%+ gap in rank of the VIX Index and the 2nd month VIX futures contract is pretty extreme, indicating investors believe (and are pricing in) a higher VIX in the future that is more "normal" to history; a very different view than the exuberance the current level of the VIX implies.