To begin, preheat your oven to 375°F (190°C). Prepare a large pot of lightly salted water and bring it to a boil. Trim the bases of the endives and remove any damaged outer leaves.
Blanch the endives in the boiling water for 5–7 minutes until slightly tender but still firm. Drain them well and gently press with a clean kitchen towel to remove excess moisture.
Wrap each blanched endive with a slice of cooked ham. Arrange the wrapped endives in a buttered baking dish, ensuring they are snugly placed to prevent rolling.
In a medium saucepan, melt the butter over medium heat. Once melted, whisk in the flour to create a roux. Cook the roux for about 2 minutes, stirring constantly, until it turns a pale golden colour.
Gradually add the milk to the roux while whisking continuously to prevent lumps. Bring the mixture to a gentle simmer and cook for 3–4 minutes until thickened.
Remove the saucepan from heat. Stir in the Dijon mustard, grated cheese (reserve a small handful for topping), and a pinch of nutmeg. Season with salt and pepper to taste. Mix until the cheese is fully melted and the sauce is smooth.
Pour the cheese sauce evenly over the wrapped endives in the baking dish, ensuring all are generously coated.
Sprinkle the reserved cheese over the top of the sauce. For added texture, you can also sprinkle breadcrumbs for a lightly crunchy topping.
Bake in the preheated oven for 20–25 minutes until the top is golden brown and bubbling. If needed, broil for an additional 2–3 minutes to achieve a crispier top.
Remove the dish from the oven and let it cool slightly before serving. Serve Chicon au Gratin with a side of mashed potatoes or crusty bread to soak up the creamy sauce. Garnish with a touch of parsley for a pop of colour.