I am building a model that takes the 12 month ATM call implied volatility as one of its inputs. I downloaded this implied vol time series data from Bloomberg for CM CN Equity (Canadian Imperial Bank of Commerce) for the last decade or so. However, I've noticed a strange pattern in the data. Occasionally, the implied volatility will double or triple for a single day, and then immediately subside.
In this time series graphs you can see a few of the sudden spikes that I am talking about around the middle, which last a single day. Is there a reason that one-day volatility spikes might be observed in the market, or is it likely a glitch in the data? Should I remove those spikes from a model, or would I be taking out useful information?