Cut the zucchini lengthways into 8 not too thin slices. Mix the olive oil with a little parsley and salt. Brush the zucchini slices with it on both sides and grill them briefly.
Remove the zucchini from the grill, let them cool down a little and then brush with cream cheese. Place 1 slice of Parma ham and a few arugula leaves on each.
Blanch the chives in boiling water and then rinse with cold water. Roll up the zucchini slices, wrap the chives around them and tie a knot.