Drain olives in a strainer. Set aside.
Line a large baking sheet with parchment paper. Set aside.
Beat butter until creamy. Add cheese.
In a medium bowl, whisk together flour, salt and cayenne. Gradually add flour mixture to butter mixture until well combined.
Cover each olive with dough until totally covered. Place on prepared sheet.
Chill for one hour or freeze.
Preheat oven to 400 degrees.
Place desired amount of olives on tray and bake for 12-14 minutes or until lightly browned.