The rise of the US benchmark oil West Texas Intermediate (WTI) to 145 USD per barrel on July 3, 2008 and its collapse to below 30 USD per barrel on December 23, 2008 represents the biggest swing in the history of oil. This fact shows that the oil market exhibits a tail risk characteristic that is typically higher than for the stock market. This greater risk motivates the analysis of the oil volatility characteristic as a possible driver of oil prices.