Preheat the oven to 400° F.
Prepare a baking sheet by first covering it with aluminum foil, then coating it with a generous “glug" of olive oil. Set aside.
Cut the shallots lengthwise through the stem, making sure to leave the stem intact.
Next, place the shallots skin side up on the prepared baking sheet and season with pinches of steak rub, then scatter the thyme on top.
Place the pan in the oven, and roast until very soft, about 35 minutes. Serve with the steak.