Step 1: Place flour in a large bowl; cut in shortening with a pastry blender or two knives until mixture resembles cornmeal.
Step 2: Stir in grated cheese and cayenne pepper.
Step 3: Sprinkle with ice water and knead into a ball.
Step 4: Divide dough into quarters; roll each quarter out to form a 8x2-inch strip.
Step 5: Place 9 olives lengthwise down the center of each strip; fold edges of dough around olives to form a roll.
Step 6: Wrap each roll tightly in plastic wrap, and refrigerate at least 3 hours.
Step 7: Preheat oven to 375F.
Step 8: Cut each roll into 1/4-inch slices; place on ungreased baking sheet.
Step 9: Bake for 10 minutes or until golden.
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