Peel the mushrooms, do not wash them, unscrew the stem, this is not needed. Season the heads with salt and pepper. Crumble the feta, chop the tomatoes and basil and mix with the cheese. Fill the mushroom heads with it and put 1 olive in each center.
To cook, place the mushroom heads on the edge of the grill and cook at a moderate temperature for 8 to 12 minutes. Serve immediately as a starter or side dish.