Filet mignons are often sold with a string tied around them to help keep their shape while cooking. Otherwise, tie them loosely with cotton kitchen twine yourself. (Be sure to remove strings before serving.)
Season filets very generously on both sides with salt and pepper (especially pepper), patting in firmly.
Heat oil in a small skillet over medium-high. Cook filets until desired doneness, 3 to 5 minutes per side (depending on thickness) for medium-rare.
Remove strings from filets, and serve with Red Wine Sauce, if desired.
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