Heat the oven to 180c/fan 160c/gas 4. On a baking tray, lay out a sheet of foil and drizzle it with some rapeseed oil.
Thinly slice the fennel (on a mandolin if possible) and put a layer of it on the foil.
Slice one of the oranges and put the slices on top of the fennel and sprinkle on the capers.
Put the fish on top and stuff in a bit of the fennel and orange into the gut cavity.
Drizzle on a little more rapeseed oil and season with sea salt.
Put a second layer of foil over the top and seal the fish up as if in a parcel.
Put the tray into the oven at and bake for 25 minutes or until cooked through.