Preheat oven to 325 degrees. Remove stalks from fennel and pull off fine hair from stalks, reserving 2 cups of the fine hair. Cut fennel bulbs into ½-inch slices.
Place fennel hair and 2 cloves garlic in blender and slowly blend in 1 cup olive oil. Season with salt and reserve.
Season leg of lamb with salt and pepper on all sides. Place large cast iron roasting pan over medium-high heat and add ½ cup olive oil. Sear leg, making sure to brown before moving to the next side.
Remove leg from pan and coat with reserved fennel hair pesto. Add fennel slices to pan in batches and brown on both sides. Place lamb leg on fennel, add olives and white wine, and place in oven for 1 hour or until a thermometer inserted into thickest part of lamb leg reads 150 degrees. Slice and serve.