1Remove the steaks from the refrigerator 30 minutes before cooking to come to room temperature.
2While the steaks come to room temperature, in a bowl and using a fork, smash together the butter, blue cheese, and parsley. Season to taste with salt and pepper. Set aside.
3Preheat the oven to 425°F. Pat the filets dry with paper towels and season with plenty of salt and pepper. Heat a large cast-iron frying pan over high heat for about 5 minutes.
4When the pan is very hot, add the olive oil and then the steaks; sear for about 4 minutes on one side. Turn and sear for another 2 minutes, then transfer to the oven.
5Roast the filets in the oven until cooked to your desired doneness, about 5 minutes depending on the thickness of the steak (rare = an internal temp of 120°F; medium-rare = 125°F). Transfer the steaks to a platter, cover tightly with aluminum foil, and let rest for 5 to 10 minutes.
6Serve each filet with a dollop of the blue cheese butter on top.
Baking recipes often call for softened butter, but if you put the butter in the microwave you risk butter soup. Leaving it out at room temp is fine if you've got lots of time. But when your butter is cold and hard and you want it to be warm and soft, just pound it with a rolling pin.