Preheat the oven to gas 6, 200°C, fan 180°C. Using a sharp knife, slash the skins of each side of the mackerel and season well. Put a few lemon slices and one rosemary sprig into the cavity of each fish.
Scatter the bay leaves over a large baking tray and lay the mackerel on top. Drizzle over the olive oil and roast in the oven for 20 minutes, turning halfway through. Serve with a green salad and boiled new potatoes.