Stir the yolks in a baking bowl with the oil, salt and nutmeg. Whip the egg whites to snow in a separate, completely fat-free baking bowl. Gently fold the snow into the egg yolk mixture.
Sift the flour and baking powder over the mixture and gently fold in. Spread the mixture evenly on a baking sheet lined with parchment paper to form a slab of about 25×35 cm and smooth it evenly with a palette. Bake at 240 °C in a heated oven for 5 to 7 min. Remove and turn the sponge out onto a dish rack. Carefully remove the parchment paper and roll up the sponge cake from the wide side using the tea towel to form a roulade and cool.
For the filling, finely dice the gherkins. Whip the butter with salt and mustard until creamy. Mix in parsley, Madeira, chive rolls and the diced cucumbers. Add salt and pepper.
Repeatedly roll out the sponge roll and evenly spread the ham slices on top. Spread the butter mixture on top of the ham and roll it all together repeatedly into a tight roulade with the help of the cloth.
Put the roulade in the refrigerator for at least 30 minutes or longer to allow the butter to set, otherwise the roulade will be difficult to cut. Before serving, cut the roulade into slices about 1 to 1 1/2 cm thick with a sharp kitchen knife.
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