Peel and devein the shrimp; reserve.

Place oil in a large, oven-safe sauté pan over high heat. (A 14-inch pan works best.) When hot, add onion, garlic, fennel seed, oregano, parsley, and chili flakes.

Sauté until glassy. Add wine and tomatoes.

Cook until most of the liquid has evaporated, about 12 minutes or so. Add shrimp and toss quickly for 60 seconds. Season with sea salt and fresh ground pepper.

Place under a hot broiler to cook through—this will only take a few minutes. Add feta, sprinkled over the top, and lemon juice. Place under broiler again and color up the cheese. Serve immediately.