Place wine in a large saucepan and bring to a boil over high heat. Add mussels and cover the pot; cook, stirring once, until mussels open, about 3 minutes. Immediately remove from the heat and allow mussels to cool. Discard any mussels that do not open.
In a small bowl, whisk together olive oil, vinegar, salt and cayenne. Stir in red bell pepper, green bell pepper, onion and parsley. Open mussels and place each mussel meat in half of a shell and arrange on a platter. Spoon about 1 teaspoon of vinaigrette into each shell. Cover and refrigerate at least 30 minutes and up to 8 hours.
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