Heat oven to 400 degrees.
Lightly spray small baking pan with cooking spray. Remove pit from avocado, and scoop out a bit extra flesh to make room for egg. Place avocado half in center of dish, and press down lightly, to prevent avocado from tipping. Break egg into avocado half (it's fine if white spills over, just be sure the yolk remains inside the avocado).
Sprinkle cayenne pepper over egg, and add shredded cheese (if desired). Bake for approximately 12 minutes, or to desired done-ness.
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