Preheat the oven to 180°C/ gas mark 4.
In a food processor, add the tomatoes, basil, olives, and olive oil and process until finely chopped.
Season both sides of the scallops with salt and pepper. Rub each scallop with the tomato mixture. Fold each slice of prosciutto in half lengthwise, and then wrap each scallop in 1 slice of prosciutto. Place wrapped scallops in a buttered baking dish, seam side down. Bake until scallop is cooked through, about 15 minutes.
In a medium bowl, toss the rocket with the balsamic vinegar. Season the rocket with salt and pepper. Place the rocket on a serving platter or divide among individual dishes. Top with the scallops and serve immediately.