Rinse the olives well and pat thoroughly dry. In a frying pan over medium heat, warm the olive oil. When the oil is hot, stir in the olives, fennel seeds, and orange peel and heat until the olives are hot throughout, about 2 minutes. Remove from the heat, transfer to a bowl, and let cool completely.
Add the lemon juice to the olives and toss well. Cover and let stand at room temperature for at least 8 hours or up to 24 hours, stirring occasionally to redistribute the seasoning. (At this point, the olives can be refrigerated for up to 2 weeks before serving.)