Careful with your wording: the covalent bond holds the two atoms in the molecule together (because halogens are diatomic and go around in pairs e.g. Cl2, Br2 etc).
There are Van der Waal forces between the molecules though.
Van der Waal forces are present in all molecules because atoms have clouds of electrons which move around the nucleus and cause induced dipoles (which constantly change as the electrons move around) when there's a higher concentration of electrons on one side of the atom. This causes the atom to have one side be delta negative (partially negative due to the higher electron concentration) and one side to be delta positive (partially positive due to the lower electron concentration). When atoms get close enough together, these induced dipoles mean that they are attracted to each other. This is what happens between halogen molecules.