Roll out the puff pastry to a thickness of 2 to 3 mm and cut out 5 x 8 cm rectangles.
Place a pepper-stuffed olive in the centre. Wrap this olive with a twisting motion at both ends. Brown in beaten egg with a little milk and bake on a sheet of baking paper for 10 to 12 minutes in a preheated oven at 200 °C.