Bring the beef to room temperature before you begin to cook. Preheat the oven to 375 degrees . Preheat a cast-iron skillet over medium-high heat.
Arrange the bacon on a broiler pan and bake until crisp, 15 to 18 minutes.
Meanwhile, coat the beef with EVOO; season liberally with salt and pepper. In the heated skillet, brown the filets over medium-high heat, 5 to 6 minutes, then finish in the oven for another 5 to 6 minutes for medium to medium-rare. Remove and let rest for 5 to 10 minutes.
Combine the sour cream with the horseradish, chives and lemon juice; season to taste.
Slice the meat very thinly against the grain. Serve on the rolls topped with the bacon, watercress leaves and horseradish cream.