Preheat the oven to 450°. Cut the peppers in half. Remove and discard the stems, seeds, and membranes.
Cover a baking stone (or sheet) with parchment paper. Brush the parchment paper with olive oil. Place the peppers skin side up on the parchment paper. Roast until the skin blisters and starts to turn black, about 45 minutes.
Remove the peppers from the oven and transfer them to a bowl. Cover the bowl with plastic wrap or a tea towel. Let the peppers sit until they are cool enough to handle and the skin peels easily away, at least 30 minutes.
Peel and discard the skins. Store the peppers in olive oil in the refrigerator until used.
Enjoy!