1. Preheat the oven to 375°F (190°C).
2. Brush olive oil onto a round non-stick baking dish.
3. Lay all sheets of fillo pastry in baking dish and trim edges.
4. Spread chopped tomatoes over fillo pastry.
5. Top with anchovy fillets, feta cheese, capers, and olives.
6. Season with salt and pepper.
Bake on bottom rack of oven at 375°F (190°C) for approx. 20 minutes, until fillo pastry turns golden-brown.
1. Allow fillo dough to thaw in refrigerator overnight or on counter top for at least 2 hours. Bring to room temperature before using.
2. Carefully unroll fillo sheets onto a smooth, dry surface.
3. Cover fillo with a plastic wrap or with a damp towel.
4. Keep fillo covered until needed. Do not leave uncovered for over 5 minutes to avoid drying out.
Tip: For a lighter, flakier pastry, brush each layer with melted butter. To prevent edges from cracking, brush edges first then work toward the center.
For best results, fillings should be chilled and not excessively moist.