In a small bowl, mix the cream cheese and chives. Season with salt and pepper for flavour and set aside.
Using a frying pan, combine the sugar with the water. Simmer over low-medium heat until the water evaporates and the mixture begins to caramelise and turn light brown. Add the pepper strips and continue cooking for another 5 minutes. Add the balsamic vinegar and cook until the pepper strips are caramelised and the vinegar has thickened. Allow to cool.
Spread cling film out on a flat surface. Place the cream cheese on top and spread it out to form a rectangle. It should be smaller than the size of the cling film. Place the caramelised pepper and avocado slices in the centre of the cream cheese.
Lift the cling film on one side and gently roll the mixture. Secure the cling film around the roll and refrigerate for 3 hours. To serve, discard the cling film and serve with crackers or toasted baguette slices.