Archie Dunham is no ordinary investor when it comes to energy stocks. He's got a blue-blooded resume that perfectly conveys his expertise and success in the energy industry. Dunham has worked his way from the ground level of ConocoPhillips (COP) – a company worth close to $100 billion today – all the way up to chairman! He retired in 2004, but you can't just shut expertise like that off. Dunham is still playing the market in a big way, and I always make a point to follow his moves. So it's no surprise that Dunham has found the perfect bet to make in this season of depressed oil and gas prices.

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I'm sure Dunham knew there was a possibility of lower oil and gas prices. That's why he's been investing heavily in Chesapeake Energy (CHK). Since May of 2013, Dunham has bought more than $25 million in shares of Chesapeake. He made his latest and biggest purchase just a few weeks ago when he plunked down more than $11 million on the open market to buy 500,000 shares.

Dunham has a lot of choices in the market – literally hundreds of energy opportunities and vast resources – yet he's choosing to ride Chesapeake into the future. It certainly makes sense. Chesapeake hasn't been idle over the past few years, and there's a good reason why Dunham has chosen the company as his faithful steed in this race.

Since the departure of Chesapeake's Chief Executive Officer, Aubrey McClendon, the company has begun to “right” itself after years of piling on debt from land acquisitions in the major u.s. shale and gas regions.

That strategy was a risky bet made by McClendon at a time when natural gas prices were much higher. The bet did not pan out, and – while the company survived – its market capitalization has fallen from more than $42 billion in 2008 to around $12 billion today. Yet the company today is far stronger now (and only getting more so). In the past two years, the firm has shed billions in debt and shored up its capital position at just the right time… when assets are getting cheaper.