1. Preheat oven to 375°. Fold 4 (16- x 12-inch) pieces of parchment paper or foil in half crosswise; unfold onto 2 baking sheets.
2. Arrange scallops, fennel, tomatoes, olives, and garlic evenly on one half of each parchment sheet, leaving a 2-inch border at edge. Season with salt and pepper; drizzle with wine and oil.
3. Fold top half of each parchment piece over ingredients. Crimp edges in tight folds to seal. Bake until packets puff up and scallops are cooked through (about 17-20 minutes, depending on size of scallops). Transfer parchment packets to plates. Carefully cut tops of packets open, making sure to avoid hot steam.