Position a rack in the center of the oven and preheat the oven to 425°F. Line a baking sheet with aluminum foil.
Cut the dough into 8 equal pieces. Using floured hands if needed, carefully stretch each piece into a thin disk (the shape doesn’t have to be perfect) about 5 inches in diameter.
Transfer the dough balls to the prepared baking sheet and fill each with 1/2 tablespoon mozzarella on one half, leaving a 1-inch border around the edge. Line the cheese with 3 slices pepperoni, and a strip of red pepper. Starting from the smaller border, stretch the dough over the filling, then continue rolling the dough (like you would roll a carpet) to wrap the filling twice. Place on a foil-lined baking sheet, seam-side down. Pinch any holes with your fingers to patch.
Brush the dough with a very light coating of olive oil. Bake until golden-brown, 15-17 minutes, then remove from the oven and let rest for 5 minutes before serving.
* Dough the Right Thing: Many supermarkets sell pizza dough these days, but there’s nothing like the real thing--freshly made by a pizzaiola (pizza maker). Most pizza shops will be happy to sell you some of their dough.