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Heat oven to 220C/200C fan/gas 7. Mix all the spices together. Brush a large square of foil with the oil, then scatter over the fennel. Sprinkle with a third of the spices, half the chilli and some seasoning. Rub the remaining spices and chilli all over the fish and in the cavity, put the fish on top of the fennel and stuff with the lemon slices.
Bring the edges of the foil together and scrunch well to seal. Place the parcel on a baking tray and cook for 15 mins. Unwrap, scatter with coriander and serve with lemon wedges, if you like.