1. Preheat oven to 425 degrees. Line a roasting pan with parchment paper.
2. Rub the cleaned fish with olive oil; place the sliced lemons and dill into the cavity of the fish. Sprinkle the entire fish with salt and pepper.
3. Roast in preheated oven for 20-25 minutes or until the flesh is opaque and lifts easily away from the bones when tested with a knife.
4. For the chipotle sauce: Combine mayonnaise, chipotle pepper and lime juice in a small bowl.