How to Make It
Preheat the oven to 500°. On a large rimmed baking sheet, spread the bay leaves and 6 of the fennel stalks in an even layer. Bake until well browned, about 3 minutes for the bay leaves and 6 minutes for the fennel stalks.
Make 3 crosswise slashes down to the bone on each side of the fish. Season the fish inside and out with salt and pepper and coat it generously all over with olive oil. Put 2 bay leaves in each slash and put the rest of the bay leaves in the cavity, along with the baked fennel stalks. Using a bamboo skewer, close the fish.
Set an oiled cast-iron griddle or very sturdy baking sheet over 2 burners over moderate heat. Put the remaining 6 fennel stalks on the griddle and cook until browned, about 5 minutes. Set the fish on the fennel stalks, transfer the griddle to the oven and roast for about 18 minutes, or until the fish is just cooked through; the flesh should flake easily when lightly pressed. Transfer the fish to a platter along with any juices from the griddle and season with salt and pepper. Using 2 forks, lift the fish off the bones and arrange on plates. Pass the olive oil and lemon wedges at the table.
Dried fennel stalks, which add a subtle anise flavor to the fish, are available at specialty food stores.