Preheat the oven to 450°. Line a rimmed baking sheet with parchment paper. Place fish on top and make 3 crosswise slashes down to the bone on each side of the fish.
Rub the fish with the olive oil and season with salt & pepper.
Stuff each slash with 1 slice lemon and some herbs. Stuff the cavity with the fennel, shallot, garlic and remaining lemon slices and herbs.
Roast for 20 minutes until the flesh is opaque. Serve with lemon. Or gremolata***.