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1
Whisk together zest, lemon juice, and salt and pepper to taste, then add olive oil in a stream, whisking until combined well.
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2
Whisk in olives and chopped oregano.
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3
Make 1-inch-long slits at 2-inch intervals down middle of fish on both sides with a sharp paring knife, then brush fish all over with vegetable oil and season with salt and pepper.
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4
Season fish cavity with salt and pepper, then evenly distribute 3 lemon rounds and 3 oregano sprigs in cavity.
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5
Close cavity, then evenly arrange remaining 3 lemon rounds and 3 oregano sprigs on top of fish and tie fish closed with string at 2-inch intervals, securing lemon slices and oregano sprigs to fish.
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6
Prepare grill for cooking.
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7
If using a charcoal grill, open vents on bottom of grill, then light charcoal.
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8
Charcoal fire is medium-hot when you can hold your hand 5 inches above rack for 3 to 4 seconds.
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9
If using a gas grill, preheat burners on high, covered, 10 minutes, then reduce heat to moderate.
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10
Grill fish on lightly oiled grill rack, covered only if using gas grill, 15 minutes.
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11
Turn fish over using a metal spatula and tongs, then grill until just cooked through, about 15 minutes more.
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12
Transfer fish to a large platter using 2 metal spatulas, then cut and discard string.
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13
Serve fish with sauce.
