Place a sheet of aluminum foil over the grill grates and lightly coat it with olive oil. Preheat the grill to 350°–375°F.
Arrange the peppers on the foil and drizzle or brush with olive oil. Turn the peppers every 5–6 minutes so all sides roast evenly and the skins become charred. The peppers should be done in about 20–25 minutes.
Remove the peppers and let them cool.Peel off the charred skin, remove the stems and seeds, and slice the peppers into strips. Reserve the juices released from the peppers.
Layer the peppers in a tightly sealed container or jar and pour the reserved juices over the top.