Rub fish on both sides with olive oil. Combine dill, salt and pepper. Rub into flesh side of fish. Place on fish grill basket, sprayed with non-stick cooking spray. Place thin slices of lemon over flesh side of fish.
If you do not have a fish grill basket, do not fear. Heat your grill to high, scrape clean. Remove grill grate (let cool), rub liberally with extra virgin olive oil, replace over heat.
Prepare grill at medium heat. Place fish, skin side down, on grill. Cook for 3 minutes, or until skin becomes crispy. Flip. Cook an additional 5 minutes (depending on thickness of fish), until you still see pink in the center.