Place the mackerel fillets onto a grill rack (broiler pan) that has been lined with aluminium foil. Cut the lemon in half and sprinkle the mackerel fillets with the juice from one half. Add salt and freshly-ground pepper to taste.
Mix the oats and mustard together and spread this lightly over the mackerel then cook under a medium grill (broiler) for 12-15 minutes without turning.