Preheat the oven to 350 degrees. Tear aluminum foil into 6 large squares. Brush each square with some olive oil.
Place the halibut in the center of the square. Drizzle each steak with some of the wine. Put a thyme sprig, lemon slice, a few fennel seeds, and a parsley sprig on each piece of fish.
Grind pepper over each piece of fish. Seal the foil into a packet. Place all packets on a baking sheet and bake for 10-15 minutes. Place a packet on each plate and let each person carefully open the packet. Pour all juices on top of the fish.