Pick the steak carefully; make sure it is deep red with scant white marbling. If possible, purchase a cut that has been dry aged, and of course, avoid graying meat or meat with yellowing fat.
Basic Rub Preparation
One easy preparation involves a simple rub. Lightly rub olive oil on the steak and then cover all sides lightly with fresh cracked ground pepper and kosher salt. Let the meat sit for at least an hour in the refrigerator. Heat a heavy skillet (cast iron is best) until very hot on the stove top, and while preheating the skillet, heat the oven to 400 degrees Fahrenheit. When the skillet is hot, place the steak on it and let it sit untouched for one minute, then flip and leave again for one minute. If the steak is thick, as most filets are, hold the sides against the skillet for a minute to sear as well. After searing the steak, place in the oven for two minutes, flip the steak and cook for another two minutes as well. If a filet sauce is desired, place the skillet back on the stove using medium to high heat put a small amount of canola oil (or another oil able to handle high heat) and a tablespoon of flour, stirring the flour quickly to keep it from lumping. Add one half cup of port wine and cook until the sauce thickens.
Many people feel that when a steak is cooked; the only way to cook it is over an open flame on a grill. And these techniques for cooking a filet can be applied to a grill. Build the fire to one side of the grill and get that side of the grill very hot and the other side less so, but still hot. Place the prepared steak on the grill over the coals and sear on each side for one minute then place the filet on the cooler side of the grill for two to three minutes to finish the grilling.
A very good cut of meat like a filet should never be marinated, but sometimes a filet marinade may be called for and a very subtle marinade should be used. Combine olive oil, salt, pepper, lemon, garlic, and dried oregano and cover the filet for three hours in the refrigerator prior to cooking.
A filet mignon is one of the few meats that taste great alone and it is very tender and low fat, therefore very little modification should be done prior to cooking, and in fact, most treatments given to steak will only destroy the flavor and texture of the steak. Subtle application of rubs and sauces should be used in order to preserve the filets natural supreme flavor.