Preheat oven to 400 degrees F (200 degrees C). Line a baking dish with aluminum foil.
Place trout in the middle of the aluminum foil; top with butter, lemon pepper, capers, and paprika. Pour cooking wine over trout. Close foil around the trout.
Bake in the preheated oven until fish flakes easily with a fork, about 30 minutes. Garnish trout with parsley.