Slice the ends off the grapefruit to expose the flesh. Set the grapefruit on one of its cut ends and slice off the skin in wide strips (try to remove all the bitter white pith). Working over a medium bowl, cut the segments free from the membranes, letting each segment fall into the bowl as you go. Squeeze the juice from the membrane and strain the juice into a small bowl. Remove any seeds from the segments and cut the segments in half crosswise.Put 3 Tbs. of the grapefruit juice,the oil, shallot, lime juice, salt, fennel seeds, and pepper in a container with a tight-fitting lid and shake it vigorously to combine. Taste and add more lime juice if needed to make the vinaigrette bright and tangy.
Reserve 1⁄2 cup of the vinaigrette for dressing the salad and pour the remaining vinaigrette into a medium nonreactive bowl. Put the shrimp in the bowl with the vinaigrette, toss, and let sit at room temperature for 30 minutes, tossing occasionally.
Prepare a hot gas or charcoal grill. (Prepare the salad ingredients while the shrimp marinate and the grill heats.) Or, heat a grill pan over medium-high heat. Grill the shrimp until just cooked through, about 1-1⁄2 minutes per side. Transfer to a plate and let the shrimp cool slightly.
Put the lettuce, mâche, sliced fennel, and cilantro in a large bowl. Peel and cut the avocado into 1⁄2-inch chunks. Give the reserved vinaigrette a vigorous shake and drizzle about 3 Tbs. over the salad. Toss the salad gently to combine; the vinaigrette should just coat the leaves. Season with salt and pepper to taste.
Divide the salad between two dinner plates or four salad plates. Scatter the avocado,grapefruit, and shrimp over the salad, tucking some pieces between the leaves. Sprinkle with the feta (if using), drizzle with a little of the remaining vinaigrette, and serve immediately.
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