Preheat oven to 450 F.
Place lemon slices, parsley and fennel in cavity of the fish. Do not overstuff.
Combine egg whites and sea salt in a bowl. Mix well to moisten salt.
Spread 1/3 salt on bottom of large baking dish or pan. Lay fish on top. Pour remaining salt over fish, covering completely. If needed, tail can be exposed.
Bake in oven 40-45 minutes. Remove from oven and let rest 10 minutes.
Crack open crust with small hammer or knife. Remove and discard crust. Fillet fish.
Arrange fish on warm plates. Drizzle with olive oil and freshly squeezed lemon juice from wedges.