Heat the grill on medium flame. Place the red pepper on the grill and cook until blackened on all sides. You will need to watch this closely, turning it to ensure all sides blacken evenly. Remove from the grill and place in a bowl. Tightly cover with plastic wrap and allow to cool about 10 minutes.

Drizzle a small amount of olive oil on the halibut. Season with salt and pepper and place in the grill basket on the grill over a medium-high flame. Grill for 6-10 minutes, turning only once to avoid breaking. You must watch the fish closely, being careful not to overcook. You will know it is done when it flakes apart with a fork and the interior is white, not translucent.

Peel the outer layer from the roasted red pepper and rinse any remaining charred bits of skin. Cut the core of the pepper out and rinse away seeds. Place the pepper in the blender with the kosher salt and lemon juice and puree. While the blender is on, very slowly drizzle in olive oil until the pepper makes a frothy sauce (about 2 tablespoons, depending on the size of the pepper).

Plate the fish and spoon the sauce over top. Season with freshly ground black pepper.