1) Season the steak liberally with salt and pepper on both sides. Heat 1 tbsp of olive oil in a medium saute pan over high heat until it's almost smoking, then sear the steak on each side for 1 minute. Reduce the heat to low and cook the steak for about 7 to 10 minutess, turning once, until very rare in the middle. Remove to a plate, cover tightly with aluminum foil, and allow to sit for 10 minutes. Slice the steak into strips.
2) Using the same saute pan, heat 1 1/2 tbsp of olive oil over medium heat. Add the onion and thyme and saute for 10 mins, until the onions are brown and caramelised, stirring occasionally.
3) For the mustard mayo: Whisk the ingredients together in a small bowl. Serve at room temperature.
4) To assemble the sandwiches, spread 1 tbsp of mustard mayo on the bottom half of each bun. Place a layer of the steak strips on top of the mayo, sprinkle with salt and pepper, and top with the caramelised onion rings. Place the baby rocket on top of the onion rings, and cover the sandwiches with the top half of the buns.