Remove the steaks from the refrigerator 30 to 60 minutes before cooking so that they reach room temperature before cooking.
Preheat the oven to 450 degrees.
Wrap one slice of bacon around each filet and secure it in place with a toothpick. Rub a little olive oil on the top and bottom of the filets. Then season steaks generously with salt and pepper.
Heat a cast-iron skillet (or other oven-safe pan) on high heat. Place filets on the pan and sear each side for 1-2 minutes until you get a nice crust.
Turn off the stove and place the pan in the oven. Cook times may vary based on thickness of steaks and how long you seared it. Check the internal temperature after 5-7 minutes. Take the steaks out after it reaches 125 degrees F for rare, 130 degrees for medium rare, and 140 degrees for medium.
Allow the steaks to settle for 5 to 10 minutes before serving or cutting into them.