Finely chop the onion. Heat the butter, sauté the onion, add and briefly sauté the saffron. Add the vermouth and reduce by half. Add the water and salt and simmer, covered, for approx. 10 mins. Puree the soup.
Slice the fish fillets on the diagonal in strips approx. 4 cm wide and add them to the soup with the saffron threads. Season and leave to stand over a low heat for approx. 5 mins.
Whip the cream until fluffy, divide the soup among warmed soup plates, and garnish with the whipped cream.