Preheat the oven to 500 degrees F. Put a baking sheet on the rack in the center of the oven and close the door. Drizzle both sides of the fish with olive oil and season the inside and outside with salt. Stuff the cavity with the lemon slices and the leftover fennel stalks and fronds.
Open the oven door and carry the fish over squarely in both of your hands. Put the fish in the center of the hot sheet pan and quickly close the door so minimal heat escapes. You should hear the fish sizzle slightly as it hits the hot sheet pan. Reduce the heat to 450 degrees F and cook for about 20 to 25 minutes, then open the door to look at the fish. The eyes will turn white when it s cooked. Touch the fish near the head. It should feel fairly firm, if cooked. Remove the sheet pan from the oven and allow it to rest a few minutes as is.
Use 2 spatulas, 1 under the head and the other under the midsection, to transfer the fish to a serving platter. Use a paring knife to gently cut around the head and the tail. Cut down the length of the back until you can insert 1 of your spatulas down the length of the top fillet and lift it off the bone. Then, lift the head and the full backbone off the fish, unveiling the second fillet. Season the fish with a pinch of salt and lemon juice. Serve with lemon slices.
Recipe courtesy of Alex Guarnaschelli