Remove filet mignons from transparent packaging and pat dry.
Season with salt and pepper and set aside. Keep at room temperature if using right away. You can also season the filets overnight in the fridge, and let them come to room temperature before cooking.
Bring an outdoor grill to at least 500 degrees.
Place a cast iron skillet on the grill, and let it get extremely hot.
It's ready when you add some canola oil in the pan and it smokes.
Quickly (and carefully) add seasoned, room temperature filet mignons to the skillet.
Sear for 3 minutes per side with the lid of the grill open.
After both sides have seared turn off the grill, and using oven mitts transfer the cast iron skillet to a heat proof surface.
Remove the steaks from the cast iron skillet, and transfer to a board. Spoon blue cheese and calabrian chili butter over the steaks.
Let the steaks rest for 5 to 7 minutes before serving.
You can also directly transfer the steaks from the cast iron skillet to a board or plate, and leave the skillet on the grill.