Cut 2 one-inch-thick slices from the center of a medium (about 7 lbs.) watermelon. Brush the slices on both sides with olive oil and sprinkle with lemon zest; season. Grill over medium heat until grill marks appear, about 3 minutes per side. Transfer to a cutting board; cut off the rind. Cut the watermelon into 1-inch pieces; toss with 1 cup halved cherry tomatoes, 2/3 cup drained store-bought marinated feta cubes and 1/2 cup fresh parsley leaves; season. Serve on 2 cups baby arugula.