Leaving the core intact, stand the fennel bulb and cut it in half vertically from top to bottom.
Cut each half into (4) 1/4-inch thick slices to give you a total of 8 slices.
Spray each side with olive oil and season with salt and pepper.
Heat an outdoor grill or indoor grill pan over medium-high heat, spray the pan with olive oil, and grill the fennel until charred on each side and tender, about 2 to 3 minutes.
Set aside on a platter, drizzle with olive oil and lemon juice, and top with Parmesan shavings.
Serve warm.