Brush fish with olive oil and season with salt and pepper. Let fish sit while sauce is prepared.
In a small saucepan over medium heat, combine shallots, cider vinegar, black pepper, bay leaf and dry white wine.
Simmer until mixture is reduced by half.
Add heavy cream and simmer until reduced by half.
Strain through a mesh sieve and return to heat.
Whisk in butter and Dijon mustard.
Preheat grill to medium high.
Place fish on the grill.
Cook for about 2 minutes and then flip, cooking for 2-4 minutes longer.
Serve the Red Snapper with a generous helping of the Creamy Dijon Sauce.