To make chimichurri sauce, combine all ingredients from 1/2 cup olive oil through 1/4 tsp salt in a bowl. Set aside.
Preheat a barbecue grill or grill pan over medium–high heat. Brush steaks with oil, then season with salt and pepper. Cook steaks for 3 minutes each side for medium-rare or until cooked to your liking. (The thickness of the steaks will also determine the amount of time.) Cover loosely with foil and rest for 5 minutes.
Cut a slit lengthwise along top of baguettes, cutting almost to base. Pull them open without splitting. Brush inside with mayonnaise, then fill with lettuce and avocado. Thinly slice steaks across the grain, then divide among sandwiches. Spoon sauce over the top of the sandwiches and serve.