Peel the pepper, quarter, discard the seeds, and cut into strips. Put in a shallow ovenproof dish with the onion and fennel, add half the oil and wine, cover with foil, and cook in the oven or on top of the stove until the vegetables are soft, about 20 minutes or so.
Season the fish with salt, pepper and the grated citrus zest and juice. Place it on top of the vegetables, first cutting it into serving pieces, if you wish.
Add the rest of the olive oil and fino, the olives, and a tablespoon or two of chopped fresh herbs.
Cover with foil, and cook in the oven at 180°C/350°F/gas mark 4, for about 30 minutes. About halfway through cooking, add the chorizo or ham if using it.
© 2000 Frances Bissell. All rights reserved.