Prepare a charcoal fire or start a gas grill; The fire should be quite hot.
Cut the octopus into large pieces.
Whisk together the oil, lemon juice, and oregano, and then add the garlic and Bay leaf.
Brush the octopus pieces with this mixture and grill them on all sides, quickly, until they become slightly crisp.
As they come off the grill brush them with a little more of the oil and the lemon juice mixture.
Serve immediately, passing the remaining mixture at the table.