Preheat oven to 425 degrees. Preheat a deep-dish cast-iron skillet in the oven as it is coming to temperature. Tie up any loose pieces of tenderloin with twine to make the tenderloin is uniform in size as possible. Place the tenderloin in the preheated skillet and place in the oven. Rub the bison tenderloin with oil. Generously season with at least 2 teaspoons each salt and pepper on all sides. 

Roast, turning halfway through, until an instant-read thermometer inserted into thickest part registers 125 degrees to 135 degrees for rare, 135 degrees to 140 degrees for medium, and 150 degrees for well done, 25-45 minutes, depending on desired doneness.

Remove from oven; cover loosely with foil; let rest 10 minutes. Remove twine; thinly slice beef. Serve with horseradish cream and bearnaise sauce, as desired.

For the Red Wine Sauce:

Add the wine, broth, thyme sprigs, salt, pepper and sugar to a saucepan and bring to a boil. Turn down to cook over medium low heat for about 30 minutes, or until the liquid is reduced by about half.

Once the wine mixture is reduced, remove the thyme sprigs. Taste and add additional salt and pepper until your liking.

For the Horseradish Sauce:

Mix all ingredients together.