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Use a peeler to zest about half a lemon. Slice the strips of zest crosswise into very thin strips. Reserve.
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Slice one half of the shallot into thin half moons and finely mince the other half. Put the half moons in a medium bowl, along with the sliced fennel, and toss with 1 tablespoon lemon juice, and a pinch each lemon zest strips and salt. Set aside. (Reserve juiced lemon halves for the avocados.)
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Scrape the minced shallots into a 1 - 2 cup jar. Mix with 2 tablespoons lemon juice, a pinch of lemon zest strips, and 1/2 teaspoon salt and set aside for 5 minutes.
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Finish the dressing by whisking in 1/2 teaspoon Dijon and 1 teaspoon honey. Whisking all the while, slowly drizzle in the olive oil.
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Prep the avocado and drizzle with whatever remaining lemon juice you can squeeze out of the reserved lemon halves
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To serve, arrange the endive on a platter. Drizzle with dressing. Layer on the fennel and shallots, citrus segments, and avocado slices. Drizzle with more dressing and gently toss. Garnish with fennel fronds. Serve right away.
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Leftover dressing can be stored sealed in the fridge for 3 days.