Place the tomatoes in an ovenproof baking dish along with the capers and thyme. Scatter with the crumbled the feta and drizzle with olive oil. Season with freshly ground pepper and transfer the dish to the middle rack of the oven and broil on low heat.
NOTE: I have an electric oven with the setting “GRILL” and heat level 1-3. I use heat level 1 for this recipe. If your oven doesn’t have this option then place on the bottom third of the oven.