Preheat an outdoor grill or grill pan to high heat.
In a large bowl, toss the squid with salt and pepper to taste. Drizzle with olive oil and toss. Brush grill with vegetable oil. Place calamari on grill and cook each side until lightly charred, about 1 minute per side. Remove from heat and place in clean large bowl. Add garlic, lemon zest, chiles, 1/4 of the Roasted Garlic Vinaigrette, the minced parsley, capers, and scallions. Season with salt, pepper and lemon juice, to taste. Set aside until ready to use.
In another bowl toss the fennel with the olives and 3/4 cup of Roasted Garlic Vinaigrette until just coated. Arrange a bed of fennel on a serving platter and set aside.
Into the fennel bowl, lightly toss the baby arugula with remaining vinaigrette and season with salt and pepper. Arrange a "wreath" of arugula around the fennel. Top the fennel with the grilled calamari. Season with freshly ground black pepper.
Roasted Garlic Vinaigrette:
6 garlic bulbs
1 1/2 cups extra-virgin olive oil
1 tablespoon Dijon mustard
1/4 cup red wine vinegar
1/4 cup water
Salt and freshly ground black pepper
Preheat oven to 400 degrees F.
Lay each garlic head root side down. Carefully halve each garlic bulb horizontally, revealing the garlic cloves. Lay each garlic head, cut side up, on a small piece of aluminum foil. Drizzle tops with about 1 tablespoon of extra-virgin olive oil and fold up sides of foil, completely enclosing garlic. Repeat with remaining garlic.
Place garlic bundles on baking sheet and bake until cloves are soft, about 1 hour.
Remove garlic from oven and let cool about 10 minutes still sealed.
Carefully squeeze the soft garlic out of the skins into the bowl of a medium sized food processor. Puree the garlic until smooth, adding a little olive oil if necessary.
Leave about 5 tablespoons of the garlic puree in the food processor and store the remaining amount in an airtight container in the refrigerator for up to 1 week.
To the food processor, add the mustard, vinegar, remaining olive oil, and water and puree until smooth and emulsified. Season with salt and pepper.
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