Heat oven to 400 degrees F.
Rinse the fish under cold water and pat dry.
Spread a thin layer of kosher salt on the bottom of a roasting pan. Put 3 bay leaves on the salt, and place the fish on top. Put a sprig of thyme and the peppercorns into the cavity of the fish. Top the fish with remaining 3 bay leaves and pour the remaining kosher salt over the fish to cover completely. Place the fish on the middle rack of the oven and bake for 35 minutes.
While the fish is baking, make the sauce. Sauté the shallots in the olive oil over medium low heat for about 4 minutes until soft. Deglaze the pan with the lemon juice and reduce for 1 minute. Add the stock, the remaining thyme sprig and reduce for 5 minutes. Swirl in the butter and season the sauce with coarse salt.
Remove the fish from the oven and scrape off the salt crust. Make an incision along the top of the fish and then peel the skin off. Gently remove the fillet from the carcass and put on a plate. Pour some of the sauce over and garnish with a thyme sprig and some lemon wedges. Flip the remaining fish over onto a cutting board. Peel off the skin, lift the fillet from the carcass and put it on a plate with the sauce, thyme and lemon wedges.