Cut off the fennel stems with a sharp knife. Rinse and dry the bulbs. Slice each bulb in half lengthwise. With the cut side down, slice the bulb vertically into ½-inch-thick slices.
Arrange the fennel slices in a 13 X 9-inch baking dish. Drizzle them with olive oil and use your hands to coat them well. Sprinkle the fennel with salt and pepper.
Bake the fennel for 15 minutes. Carefully remove the baking dish from the oven, gently toss the fennel slices, then sprinkle them evenly with grated parmesan cheese.
Return the pan to the oven and keep baking until the fennel is fork-tender and the top is golden brown, for about 15 more minutes.
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Notes
The reason this recipe works so well is the hot oven. You want the fennel slices to caramelize - that's when their flavor and texture transform. So make sure your oven is set to 425°F. A lower oven won't work as well.
Another important tip is to dry the fennel bulbs well after you rinse them. This is another way to ensure that the fennel roasts in the oven rather than steam.
You can keep the leftovers in the fridge, in a sealed container, for 3-4 days. Reheat them in the microwave at 50% power. You can also freeze the leftovers for up to three months.