Preheat the oven to 300F degrees.
Pat the fish dry with paper towels and sprinkle with salt and pepper. Let the fish stand at room temperature for 15 minutes.
Arrange the fennel slices on the bottom of an 8-inch baking dish. Place the halibut fillets on top of the fennel in one layer. Top the fillets with lemon slices and parsley.
Pour the Bellucci EVOO over the fish.
Bake, covered with a lid or foil, until the fish just flakes and is cooked through, approximately 30 minutes. Halfway through the cooking time, baste the fillets with the EVOO, then return to the oven to finish cooking.
Remove pan from oven and transfer halibut fillets with fennel and lemons to serving platter or individual plates. Top each fillet with a couple of tablespoons of the flavorful cooking liquid from the pan.