Place frozen rolls on board or counter and spray with nonstick spray. Cover loosely with plastic wrap and allow to thaw until soft but still cold, about 2 hours.
Use 2 rolls to make a small ball for the spider's head. Use 10 rolls to make a larger ball for the spider's body.
Cut the remaining 4 rolls in half (with one half slightly larger than the other). Roll each half into a rope. Make 4 12 inch ropes and 4 10 inch ropes.
On a lined cookie sheet, arrange balls and ropes into spider shape.
Spray with nonstick spray and cover loosely with plastic wrap. Allow to rise until quite puffed, about 1 hour. Meanwhile, preheat the oven to 350 degrees.
Whisk together egg white and water and brush all over spider. Sprinkle legs with parmesan cheese if desired.
Bake spider 28-30 minutes until quite brown. Cool completely.
Use a knife to make slits for the eyes and press an olive slice into each slit.
Use a knife to cut a circle out of the body, and then tear out the bread to make a bowl. Fill with cold dip. Surround with veggies and serve.