Heat a medium cast iron skillet over medium-high heat. While pan is heating, coat the filets on all sides with Worcestershire sauce, 1 tablespoon canola oil, salt and pepper. Add the remaining tablespoon of canola oil to the pan and tilt to fully coat the bottom. Add the filets and cook until a crust forms on the bottom, 3 minutes. Flip and let cook on the other side for 4 more minutes.
Transfer the skillet to the oven and cook until a meat thermometer inserted in the center of the filets reads 130 degrees F for medium-rare, 4 to 5 minutes.Transfer the filets to a serving platter.