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Preheat grill/broiler to medium.
Using a mandoline or sharp chef’s knife, cut zucchini and eggplant lengthwise into long strips, ¼-inch thick. Arrange on prepared baking sheets and lightly brush with olive oil.
Scatter thyme over vegetables and season generously with sea salt. Grill/broil for 3 minutes, then flip and grill/broil for another 3 minutes.
Watch carefully so they don’t burn. You may have to remove zucchini at this point and leave eggplant in for another 1–2 minutes. Cook until vegetables are soft, but not falling apart. Once done, set aside to cool.
Add 3 tablespoons olive oil, nuts, parmesan, tomato paste, sun-dried tomatoes and cherry tomatoes to a food processor and blitz until very smooth. Season with sea salt and pepper.
Take a strip of eggplant, layer on a strip of zucchini; then gently spread a layer of tomato mixture over it. Roll strip up and spear with a cocktail stick/toothpick, if necessary, to seal it closed.