Serving the Quantitative Finance Community
Straddle changes on days like unemplyment
I am new to modeling STIR vol skews so i have a doubt for the practitioners.I feel that my straddle change(ATM VOL CHANGE) is not aligned to what the options market has .What would be a reasonable number of times we need to change the straddles on a day when the futures has moved 14 ticks ?My straddle was off two ticks on a 14 tick move on last unemployment , i feel that it can be because of vol jump but the guys i work with are convinced that my model's vol atm path is not correct ..any insights?? thanks