Stir the egg, feta cheese, yoghurt, flour and baking soda in a bowl to create the filling.
Take the phyllo pastry sheets out in pairs. Smear the 1st with oil and the 2nd with the mixture. Roll them up and place them successively in an oiled oven dish to form the phyllo pastry.
In case you have any filling left over, pour it on top and smear it. If you don't any any left over, smear the top with oil.
Bake until reddened in a preheated 392°F (200 °C) oven.