We provide a comprehensive and novel exploration of volatility connectedness within oil-based energy commodities, addressing both permanent and transitory impacts of market shocks. Utilizing a quantile-based framework, we show that volatility transmissions are not uniform but depend heavily on the state of the market. Specifically, heating oil and crude oil emerge as dominant transmitters of volatility, particularly during periods of economic turmoil. We also identify four specific shocks that led to permanent shifts in connectedness: the 9/11 attacks, the Crimea crisis, Venezuela's currency reform, and the Russian invasion of Ukraine. We further provide a multivariate dynamic portfolio allocation of energy commodities in response to these shocks. We contribute to a better understanding of the dynamics of connectedness and its impact on portfolio decisions, echoing the broader discussions in finance about the importance of adaptive strategies.