Heat olive oil in a small oven-safe skillet over medium heat. Add diced tomatoes, smoked paprika, cumin, and cayenne pepper (if using). Cook for 5 minutes, stirring occasionally.
Make two wells in the tomato sauce and crack an egg into each well.
Bake in the preheated oven for 15-20 minutes, or until the eggs are set to your liking.
Sprinkle with feta cheese and fresh parsley before serving.