Step 1: Spread olives on a dish towel and roll them around to dry. In a food processor pulse the dry ingredients (flour - cayenne pepper) until combined (3 pulses). Add the cheese and butter and pulse until mixture resembles coarse crumbs (12 pulses). Add egg, water and worcestershire and process until dough ball forms (20 seconds).
Step 2: Working with t teaspoons dough and 1 olive at a time, pat dog into a 2-inch circle, place olive in center of dough, form dough around olive and roll dough between your hands to make a uniform ball. Repeat with the remaining dough and olives. Place formed balls on a large plate, cover with plastic wrap and refrigerate for at least 1 hour or up to 24 hours (these can also be frozen to bake later).
Step 3: Preheat oven to 350 degrees F. Line 2 rimmed baking sheets with parchment paper. Space balls evenly on prepared sheets and bake until bottoms are browned and tops are golden (16-20 minutes, but if frozen 25 minutes), switching and rotating baking sheets halfway through baking. Transfer cheddar olives to wire rack and let cool about 30 minutes before serving.
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