Add all ingredients to a medium saucepan and press as much of the fennel below the oil as possible (the oil will barely cover everything at first but it will cook down later). Bring to a simmer over medium heat, cover, and reduce to low to maintain a very low simmer. Cook for 1 hour, stirring occasionally, or until the flavor the oil has reached your liking. Remove from heat and strain through a fine mesh strainer set over a medium mixing bowl. Allow to cool to room temperature, transfer to an air-tight container and store in the refrigerator.