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A striking stat about Wall Street’s ‘fear gauge’ sums up the new era of volatility

Is elevated volatility here to stay?

Don't call it a comeback.

The Cboe Volatility Index, considered Wall Street's "fear gauge" as a measure of swings expected in the market, has roared back this year after many months of muted moves. The index, commonly referred to as the VIX, surged as high as 50 earlier this year before trading generally between the 15 and 25 levels.

While that range is just about in line with the index's long-term average, it's a stunning departure from recent years. According to a CNBC analysis, the VIX's average level this year is 17.11; that's higher than the average for all of 2015 (16.68), 2016 (15.84) and 2017 (11.10).

The VIX's average since 1995 is 21, said Dennis Davitt, portfolio manager and partner at Harvest Volatility Management.

Of course, we're coming off historically low levels, but that says a lot about what market watchers are calling a relatively new era of volatility after such a long period of historically quiet market moves.

"The anomaly that we saw in 2016 and 2017 was the really low VIX. So the tail-risk event, or the black swan event, was a slow-motion car crash of 2017, where we saw the VIX trading at 9," said Davitt. "So moving out of that extremely left-tail, low vol event into what is a more normal market is going to feel like the market has suddenly become significantly more volatile."

Davitt recommended that investors generally should stay away from incorporating leverage into their portfolios. He pointed specifically to the demise of a short volatility product, the XIV, which lost 80 percent in early February when the VIX shot higher.

Other strategists have pointed out that volatility has picked up across other asset classes, as well.

"We are seeing a pickup in volatility in the Treasury market, and in the currency market," said Matt Maley, equity strategist at Miller Tabak, adding that when that kind of volatility gains momentum, it usually bleeds over in the stock market eventually.