Preheat the oven to 400°. Spray a shallow baking dish or rimmed baking sheet with nonstick cooking spray.
Place the fish in the prepared baking dish and rub the tops with the oil. Season with salt and pepper. Roast the cod for about 10 minutes until it is cooked through and flaky—the cooking time really depends on the thickness of the pieces, which can vary a lot.
While the fish is roasting, place the yogurt, lemon juice and zest in a sealable plastic bag. Seal the bag and mush it all around until blended. When you are ready to serve the fish, snip a tiny corner off of the baggie, and drizzle it over the fish. Serve hot.