This study analyzes the impact of the VIX futures basis on subsequent S&P 500 index futures returns using quantile regression. The results show that the impact varies with return distributions and that the effect is stronger under bad market conditions than under good market conditions. The evidence also shows that the VIX futures basis provides incremental information for the purpose of risk management. Overall, our evidence supports the conclusion that the VIX futures basis and investors’ heterogeneity in beliefs are important factors that affect S&P 500 index futures returns. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark