Cut the peppers in half, clean and rinse them. Place the bell pepper halves skin side up on a greased baking tray and bake at 220 °C until the skin blisters. Remove peppers from the kitchen stove, cover with a wet dishcloth and cool a little bit.
Next, remove the skin. Cut feta cheese into cubes. Peel shallots and garlic and coarsely chop both. Rinse the chillis. Place ingredients in jars, season with juice of one lemon, salt and pepper, and fill jars to the brim with olive oil. Seal the jars and keep in the refrigerator until ready to eat.