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Preheat the oven to 450 degrees F and oil a baking pan.
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Arrange the fennel slices in the bottom of prepared baking pan.
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Season each trout with salt and black pepper.
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Stuff the cavity of each fish with half of lemon slices and fresh dill.
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Layer the fish over fennel slices and top with remaining lemon slices.
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Drizzle with olive oil and bake for about 10 minutes.
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Reduce the temperature of oven to 400 degrees F and bake for about 12 more minutes.
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Make sure it is cooked thoroughly and serve warm.
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Garnish with fresh rosemary.