Bring the beef to room temperature before you begin to cook. Pre-heat the oven to 375°F. Pre-heat a cast iron skillet over medium-high heat.
Arrange the bacon on a broiler pan and bake until crisp, 15-18 minutes.
Meanwhile, coat the beef with EVOO; season liberally with salt and pepper. In the heated skillet, brown the filets over medium-high heat, 5-6 minutes, then finish in the oven for another 5-6 minutes for medium to medium-rare. Remove and let rest for 5-10 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.