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Step 1
Preheat oven to 400°F. Spray an 8"x12" gratin dish or casserole with olive oil. Add the brussels sprouts and season with salt and pepper. Spray more olive oil over the brussels and place in the lower third of the oven. Bake 15 minutes, toss and bake an additional 10 minutes.
Step 2
Meanwhile, heat a medium nonstick pan over medium heat. Add butter and let it melt, add the shallots and cook until softened, about 4 to 5 minutes. Sprinkle the flour over the shallots to make a roux, whisking for 1 to 2 minutes. Add the milk and stir with a wooden spoon until the roux is incorporated into the milk. Cook over medium-low heat for about 4 minutes, stirring, until the sauce thickens. Add fresh thyme, parmesan and half of the grated Gruyere cheese into the white sauce and stir until the cheese is melted and incorporated into the sauce.
Step 3
Pour over the brussels sprouts, and top with the remaining cheese. Bake for 15 minutes until top is lightly browned and bubbly.