Pre-heat grill or grill pan over medium high heat.
Cut avocados in half, remove skin and pit. Brush each avocado with lemon juice, and 1 tbsp. olive oil. Place avocado halves flat side down on grill, and grill for two to three minutes. Remove from heat and set aside.
In a medium bowl combine tomatoes, yellow pepper, onion, cilantro and jalapeno. Gently fold in feta cheese with remaining oil. Fill the cavities of the avocados mounding slightly. Season with salt and pepper to taste.
* Select avocados that give slightly when squeezed. Too soft avocados will not grill well!
***Drizzle with hot sauce if desired
Filling can be made a few hours before and stored covered in the fridge.