Preheat oven to 225 degrees F. While the oven is preheating, let the filet mignon sit at room temperature for 15-20 minutes to take off the chill.

Pat the meat dry with a paper towel. Season the filet mignon with your favorite seasonings.

Place the steak on a wire rack over a baking sheet and place it in the oven.

Cook the beef in the oven until the internal temperature reaches 110-130F degrees Fahrenheit, about 25 minutes. This will result in steak that is rare to medium rare. Use an oven-safe kitchen thermometer for accurate results.

Remove the beef from the oven and place foil over the top for 15 minutes.

Add cooking oil to a large pan or cast iron skillet. Turn the heat to high and let it get hot. Sear the filet mignon on each side for 60-90 seconds on each side, or until nice and browned all over or until desired internal temperature is reached.

Remove the beef from the heat and add foil back to the top. Let it rest for 5 minutes before slicing and serving.

To make filet mignon on the smoker, pellet grill, or big green egg, follow the instructions below/above up until you sear the filet mignon.

Set the smoker to 225F degrees and place the filet mignon on the preheated grill, fat side up. Cook for 20-30 minutes or until the internal temperature reaches 110-125F degrees Fahrenheit.

Remove from heat and let rest for 5 minutes under foil.

Turn up the heat to 500F degrees and sear the filet mignon on each side for 60-90 seconds. Remove from heat and let rest for 5 minutes before cutting into it.