Rinse fish thoroughly in cold water; pat dry. Sprinkle fish with salt and pepper. Roll up each piece jellyroll fashion.
Place oil in bottom of a 9-inch square baking pan. Place fish rolls in pan, seam side down. Pour water in pan.
Bake, uncovered, at 400° for 35 minutes or until fish flakes easily when tested with a fork; baste frequently with liquid.
Transfer fish to a serving platter, seam side down. Pour Hollandaise Shrimp Sauce over top.