I found this method of searing filets in a magazine and thought the result was amazing. I've been cooking them this way ever since. I'm submitting the recipe here as I'm afraid of misplacing such a treasure.
Heat an oven-proof pan over medium-high heat for 5 minutes.
Add oil and heat briefly.
Sear filets in oil on one side for 4-5 minutes. Turn them over, place the pan in the oven, and roast to desired doneness. (For medium rare that would be approximately 7 minutes.).