Prepare a charcoal or wood fire. Off the heat, cover the rack with foil and make slits in the foil with a paring knife.

Place the shrimp in a bowl. Add the olive oil and fennel and toss.

When the coals are dusty red, set the grill in place to heat up. When ready to cook the shrimp, add the dried fennel stalks to the coals, if using; they will ignite almost immediately.

Quickly arrange the shrimp on the grill to infuse with the fennel stalk flavor. Grill the shrimp on each side for 1 to 2 minutes, until they turn pink.