Preheat the oven to 200 degrees. Lay a large piece of parchment paper flat on the counter. Slice the half fennel bulb into thin slices and halve the cherry tomatoes. Distribute the fennel slices over the center of the parchment paper as a base for the dish.
Place the cod fillet on the fennel and distribute the halved cherry tomatoes around it. Drizzle the fish and vegetables evenly with the extra virgin olive oil. Squeeze the lemon slice over the cod. Season with pepper and Celtic sea salt and sprinkle the fresh parsley over top.
Fold the edges of the parchment paper together firmly into a tight package so no air escapes. Place this papillote on a baking sheet and slide it into the middle of the oven. Bake the fish until fully cooked, about fifteen to twenty minutes.
Remove the baking sheet from the oven and transfer the package directly to a plate. Carefully unfold the parchment paper at the top, taking care of the hot steam that escapes. Serve the dish in the paper so the released juices and flavors are retained on the plate.