Heat the oil over medium low heat in a large skillet. Add the onion slices and stir to coat. Cook for 10 minutes, stirring only once or twice. Sprinkle the onions lightly with salt. Add more oil or water if the onions are starting to stick or burn. Cook for another 15-20 minutes minutes, stirring occasionally, and adding water as necessary, until onions are soft and evenly browned. Remove from heat and allow to cool completely.

In a bowl, beat together the onions, blue cheese, and softened butter until well combined. Turn the mixture out onto a piece of saran wrap or parchment paper. Shape into a log then roll and wrap. Store in the fridge until ready to use, or for up to a week.

Preheat the oven to 425 degrees. Season the filets on both sides with salt and pepper.

Coat the bottom of an oven safe pan with olive oil (I used a cast iron skillet). Heat to medium. Add the steak and cook, undisturbed, for 4 minutes. Flip the steaks then immediately place them in the oven and cook for approximately 4-6 minutes. Use a meat thermometer (I recommend the Thermopen) to test for doneness. For medium rare (which is recommended), remove the steak when internal temperature reaches 135-140 degrees. For medium, cook to 150 degrees.

Remove the pan from the oven and place the steak on a plate or a cutting board. Tent with foil and allow to rest for at least five minutes so juices can redistribute.

Serve steak with slices of compound butter and pan juices.