I once had swordfish grilled with mayonnaise and I thought it would be super weird but it ended up being great. It was very moist and very subtly tangy. I did it this way with a home made aoili with dill and lemon, which was also really nice.
We like steaks brushed with oil, then a generous application of Chef Paul Prudhomme's blend, the Seafood Magic. Something about the oil in the fish is an excellent match with the spices. We like grilled as pierino said over a wood fire, but works in a skillet too.
I used to lghtkly marinate in soy sauce, lemon juice and a little oil. Then serve with avocado butter on top. Just mash equal parts of each avo and butter, season with S&P, lemon juice and shallot, and if you want add in minced hot peppers, cilantro. Roll into a log. Chill and serve with pats on top of the grilled fish. Inspired from Piret's Bistro cookbook, out of print.
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That said, swordfish is a bit problematic these days in terms of ocean health. We are watching shrinking fisheries for bill fish in general.