Step 1

Preheat oven to 375 degrees, with racks in upper and lower thirds. On a lightly floured surface, roll out puff pastry to a 10-by-16-inch rectangle. Brush with olive oil and sprinkle with cheddar, Parmesan, herbs, and salt. Fold dough lengthwise into thirds (like a letter), then fold in half. Refrigerate until slightly firm, about 10 minutes. Cut dough crosswise into 1/4-inch-thick slices (you should have about 38).

Step 2

Place slices on 2 large baking sheets. Refrigerate until firm, about 30 minutes. (To store, cover with plastic wrap and refrigerate, up to 1 day.) In a bowl, combine egg yolk with water. Brush tops of palmiers with egg wash. Bake until golden brown, about 25 minutes, rotating sheets halfway through.