In a small bowl, combine fennel, capers, lemon juice, parsley and olive oil and set aside.
Preheat oven to 400°F. Lay trout on a greased baking sheet. Stuff each fish with slices of red onion, lemon, whole sprigs of parsley and oregano. Drizzle with olive oil and season with salt and pepper.
Bake 15 to 18 minutes or until fish is firm and flakey. Serve with fennel salad.