Slice the aubergines 1 cm thick leaving the skin on. Brush with a mix of olive oil, salt, pepper and oregano.
In a glass pan, add some olive oil and cook the aubergines in a medium heat oven until ready.
In a blender add the feta cheese, the Greek yogurt and mix til they become a pate. For a more ferm paste, add Philadephia instead of yogurt. If you have guests and this will be one of the appetizers, make sure to use it so that the rolls don't get mushy. The better taste though is with Greek yogurt.
Mix in the sliced olives and start to make the rolls.