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1
Heat the oven to 190 °C. Pour the olive oil into a wide roasting dish. Lay the desalted anchovy fillets into the cold oil and place the dish over a low flame for 1–2 minutes, stirring, until the anchovies begin to dissolve into the oil without frying — the oil should be barely trembling and the fillets losing their form. Remove from the heat the moment the anchovies have melted to a paste: no sizzling, no acrid smell.
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2
Add the sliced red onion, garlic, and Peperoni di Senise to the anchovy oil. Turn to coat each piece thoroughly. Spread in a single, loose layer. The oil must be generous enough to pool at the base of the dish — if the peppers appear dry, the dish will char unevenly.
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3
Transfer the dish to the oven. Roast at 190 °C for 40–45 minutes, stirring every 15 minutes so each pepper is returned to the oil and bastes evenly. This is where the dish lives or dies: the Senise pepper's thin walls and low water content allow sugar to concentrate slowly; any impatience at higher heat creates charring before sweetness has time to develop, and the anchovy cannot dissolve into the oil uniformly if the heat is uneven. At 40 minutes the peppers must be fully collapsed, silky throughout, and slightly charred only at the thinnest edges — touch one: it should offer no resistance and feel as soft as cloth.
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4
In the final 5 minutes, add the pinch of dried Calabrian chilli and, if using, the splash of white wine vinegar. Return to the oven. The vinegar will have evaporated off its sharpest notes when the dish smells sweet-sour rather than acidic — a faint, clean tang over the roasted pepper.
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5
Remove from the oven and allow to cool to room temperature before serving. At this temperature the anchovy-pepper integration is fully pronounced: taste the oil pooled at the base — it should be deeply savoury without any traceable fishiness, carrying only richness and sweet pepper depth.