1.
Grind together the paprika, fennel, peppercorns, white pepper, and cayenne. Use to season both sides of the filet mignon steak, about 1 teaspoon per side.
2.
Heat your gas or charcoal grill to high (Here's how to tell if it's high: Hold your hand about four inches above the cooking surface. After 2 to 3 seconds, the heat will force you to pull your hand away.)
3.
Oil the grill grate, using an oiled rag.
4.
Place the steak on the grill. Use these cooking times to cook your steak to medium: 2 to 3 minutes per side for a 1/2 inch thick steak, 4 to 6 minutes per side for a 1 inch thick steak, 6 to 9 minutes per side for a 1 1/2 to 2 inch thick steak.
5.
Take the steak off the grill. Let it rest 2 to 3 minutes to allow the juices to reabsorb into the steak.