Preheat your grill to high heat (around 450-500°F).
While the grill is heating, prepare the Picanha. Trim any excessive fat from the steak, leaving a layer about 1/4 inch thick.
Score the fat cap in a crosshatch pattern, being careful not to cut into the meat.
Rub the steak all over with olive oil. Generously season both sides with coarse sea salt and freshly ground black pepper.
Place the Picanha on the grill, fat side down. Sear for about 5-7 minutes, or until it develops a nice, golden-brown crust.
Flip the steak and continue grilling for another 5-7 minutes for medium-rare, or until a meat thermometer reads 130-135°F when inserted into the thickest part of the steak.
Once cooked to your liking, remove the Picanha from the grill and let it rest for about 10 minutes.
After resting in room temperature, slice the Picanha against the grain into thin slices. Serve immediately with your favorite side dishes and enjoy!