O'Day was travelling with bandmate Bex on Monday (05May14) when their car collided with another vehicle as they waited at a red light, police sources tell Tmz.com.
The other driver allegedly sped away after the incident, but the two women claim they spotted the same vehicle the following day during a visit to a hair salon, and decided to take photos of the car for evidence.
Editors at the website report O'Day and Bex were then confronted by a man brandishing a heavy metal object. It is not known where the incident took place.
A report was filed with local cops, who are investigating the allegations.