Lightly whisk the eggs with the dill. Season with salt. Add a pinch or two the cayenne, if you’d like it a bit spicy.
Heat the oil in a non-stick, oven-proof frying pan. Pour in the egg mixture, let it spread out and cook for 3-5 minutes, until half cooked, then crumble the feta all over. Put a lid on, turn down the heat and cook for 5 minutes.
Meanwhile turn on the grill.
When the top of the frittata is set, put the pan under the grill for a couple of minutes for the surface to brown.
Slide the frittata onto a plate and let it cool. Cut it into squares or wedges.
Serve at room temperature.