Drizzle cavity of trout with olive oil. Season with salt and pepper. Stuff cavity with 4 lemon slices and 1 sprig of sage.
Wrap trout with bacon like a mummy, using toothpicks to hold bacon in place. Each trout will require about 6 strips of bacon.
Grill for approximately 5 minutes per side over direct medium-high heat, or until bacon is crispy and trout is cooked throughout. Trout can also be pan-seared for approximately 5 minutes per side.