Pat dry lamb with paper towel. Mix olive oil, lemon juice, oregano and garlic together in a bowl. Season with salt and pepper. Cover and refrigerate for 30 minutes to 1 hour. Bring lamb to room temperature for 30 minutes before cooking.
In a small bowl, place ¼ cup of reserved oil from feta, red wine vinegar, lemon juice and Dijon mustard, season with salt and pepper. Whisk to combine.
Heat a chargrill pan over medium-high heat. Brush flesh of nectarines with olive oil, place on chargrill pan. Cook for 2-3 minutes each side. Remove from heat. Increase heat to high.
Add lamb and cook, in batches for 4-5 minutes each side until marks appear and lamb is cooked to medium. Set aside to rest for 5 minutes. Toss rocket and nectarines in serving bowls, drizzle with dressing. Crumble over feta and top with toasted almonds and parsley leaves.