Slash each mackerel 3—4 times on each side with a sharp knife. Spray with a little oil and season inside and out with salt and pepper. Using cooking string, tie 3 lemon slices on each side of the fish. Spray with a little oil and cook on a hot barbecue for 4—5 minutes on each side until lightly charred and cooked through. Set aside to rest for 5 minutes.
Place the fennel in a bowl with the garlic, capers, oil, parsley, fennel fronds and lemon juice and season to taste. Serve the mackerel with the fennel salad.