Preheat your oven to 200°C (390°F).
Wash the zucchini and slice them lengthwise into thin strips using a vegetable peeler or mandoline.
Brush each slice with olive oil and season with a little salt and pepper.
On each zucchini strip, place a slice of ham and a sprinkle of grated cheese.
Roll them up tightly and secure with a toothpick.
Place the rolls on a baking tray lined with parchment paper.
Bake for about 10–12 minutes, until the cheese is melted and the edges are slightly golden.
Garnish with fresh basil if you like and serve warm.