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Step 1
Prepare a charcoal or gas grill fire for direct grilling over medium heat (350°F).
Step 2
With a mortar and pestle (or using the side of a chef’s knife), pound or mash the garlic to a smooth paste with a pinch of salt. Add the anchovies and pound or mash again until smooth. Transfer the mixture to a small bowl. (Or, if the mortar is large enough, leave it in the mortar.) Add the egg yolk. Whisk in the lemon juice, then whisk in 1/2 cup of the olive oil in a slow stream until emulsified. Add the Parmigiano, and several grinds of black pepper and whisk to combine. Season to taste with more salt or lemon juice.
Step 3
Brush the bread slices on both sides with olive oil. Grill until toasted, about 1 minute per side, then cut or tear into bite-size pieces.
Step 4
Put the romaine on a baking sheet and drizzle with the remaining 3 Tbs. olive oil. Toss gently to coat evenly and season with salt. Place the romaine on the grill cut side down and grill until nicely marked, 1 to 2 minutes. Turn and mark on the other cut sides, 1 to 2 minutes more.
Step 5
Transfer the grilled romaine to a platter or individual plates, and sprinkle the croutons on and around the romaine. Drizzle a generous amount of the dressing on top and sprinkle with additional Parmigiano. Serve immediately, passing any remaining dressing at the table.