Whisk together 1 egg and 2 Tbsp. water. Cut 1 frozen puff pastry sheet, thawed, into 15 (3/4-inch) strips. Cut strips into fourths. Brush 1 side of pastry strip with egg mixture, and wrap around 1 small green olive, pressing edges to seal. Repeat with remaining pastry and olives. Arrange, seam sides down, on a lightly greased baking sheet; brush with egg mixture, and sprinkle with pepper. Bake at 400° for 10 to 12 minutes or until golden.