Set grids at highest level and preheat grill to medium-high setting. Pat the steak dry with a paper towel, rub with olive oil, and sprinkle with salt and pepper.
Place steak on hot grill. Cook 6 to 8 minutes on one side then turn and grill the second side, again for 6 to 8 minutes. Add sear marks. Cook to desired degree of doneness. Remove the meat from grill. Serve with Bleu Cheese or Roquefort Sauce.