Preheat oven to 400°F
Pat filet mignon dry
Season all sides with salt and pepper
Wrap each filet with 1 strip of bacon
Secure bacon with toothpicks if needed
Heat an oven-safe skillet over medium-high heat
Add a little oil
Sear filets for 2 to 3 minutes per side
Sear the bacon edge briefly if possible
Transfer skillet to the oven
Roast for 6 to 10 minutes for medium-rare, depending on thickness
Check internal temperature
Remove at 125°F to 130°F for medium-rare
Remove at 135°F for medium
Rest for 5 to 10 minutes
Remove toothpicks before serving