Preheat the oven to 450 degrees F. Line a sheet tray with foil.
In a bowl, toss the peppers with 2 tablespoons of the oil. Place on the prepared sheet tray and roast until the skins blister and start to peel away, about 20 minutes.
Place the peppers in a paper bag or in a metal bowl covered with plastic wrap. The steam will help the skins slide right off. When cool, peel the peppers.
Combine the remaining 2 cups oil, the vinegar, thyme, red pepper, bay leaves and garlic in a deep, high-sided plastic container, and then whisk until fully incorporated. Season with salt and pepper. Place the cooled and peeled peppers in the mixture and marinate for at least 6 hours and up to overnight in the refrigerator.
Store the marinated peppers refrigerated for up to 14 days in an airtight container.