Preheat oven and season fish: Preheat oven to 450°F. Pat fish dry; rub cavity and skin with oil, then season generously with salt and pepper. Stuff cavity with lemon slices and a few sprigs of thyme.
Prepare for roasting: Transfer to a rimmed baking sheet, standing fish upright (cavity-side down); anchor in place with 3 lemon wedges along each side. Scatter remaining thyme sprigs around fish.
Cook fish: Roast until fish is just cooked through, 17 to 22 minutes, depending on size. Fillet fish and serve with roasted lemon wedges or a sauce for fish.
