Preparation

• Prepare a gas grill or charcoal grill to medium high (400°F to 475°F). (If using charcoal, the coals should be covered with white ash, and you should be able to hold your hand just above the grate for no more than 2 to 3 seconds.)
• Combine the roasted red pepper, bread, egg yolk, garlic, lemon juice, saffron, and cayenne pepper in a food processor. Pulse until the mixture is smooth. With the motor running, slowly pour in the canola oil in a slow, steady stream until the mixture thickens. Transfer the rouille to a bowl. Whisk in the extra-virgin olive oil until totally incorporated and season to taste with salt. Cover with plastic wrap and refrigerate until ready to serve.
• Place the mussels on the cooking grate, close the lid, and cook until the mussels have opened, about 5 minutes. Transfer the mussels to a large bowl, lifting them off the grill with tongs to keep as much liquid in the shells as possible. Discard any mussels that do not open. Serve with the rouille for dipping.