Preheat the oven to 350F.

Heat the olive oil in a cast iron skillet or oven-proof pan, and sauté the zucchini. Stir frequently, while cooking, seasoning the zucchini with salt and pepper as you move them around the skillet.

As the vegetables cook, make the cheese sauce by adding the cream cheese, heavy cream and water to a medium saucepan. Cook over a low heat until the cheese has melted. Add the shredded cheddar, a quarter cup at a time, stirring until it has melted before adding more.

Drain the zucchini of any excess liquid, then pour the cheese sauce over the zucchini, then finish with the grated Parmesan.

Roast until the top is golden brown, about 15 minutes. Grind some black pepper over the top and serve.