Trim the ends of the aubergines, then cut a thin slice lengthways from either side of each; discard these slices, which should be mainly skin. Cut each aubergine lengthways into 4 slices. Heat the grill on the hottest setting or heat a griddle pan until very hot.
Brush both sides of the aubergine slices with the oil, then cook under the grill or in the griddle pan for 3 minutes on each side or until browned and softened.
Lay the aubergine slices on a board and divide the feta, tomatoes and basil leaves between them. Season well with salt and pepper. Roll up each slice from a short end and secure with a cocktail stick. Arrange on serving plates and serve immediately, or cover and set aside in a cool place, but not the refrigerator, and serve at room temperature when required.