For the dressing, rinse the orange and lemon under warm water and grate dry. Grate half of the orange and half of the lemon zest on the fine side of the kitchen grater and place in a small bowl form. Cut orange and lemon in half and squeeze, add 8 tbsp orange juice and 4 tbsp juice of one lemon to the grated peel form. Cut the olives in rough pieces from the stone and add them. Add 4 tablespoons of olive oil, stir and season with cayenne pepper, salt and pepper.
Brush a baking tray with the remaining olive oil. Clean the fennel, pluck off the greens. Chop 2/3 of the fennel greens and add to salad dressing form. Set remaining fennel greens aside. Cut fennel bulbs lengthwise into 3-4 mm narrow slices and place side by side on baking sheet. Cook on the top rack under the heated broiler for 5-8 minutes until cooked through.
Remove the fennel and drizzle with the salad dressing. Sprinkle with crumbled feta cheese and garnish with remaining fennel greens. Serve immediately. Serve with ciabatta.