In a small bowl, mix the cream cheese and chives. Season with salt and pepper to taste and set aside.
In a skillet, combine the sugar with the water. Simmer over low-medium heat until the water evaporates, boiling slows, and the mixture begins to caramelize 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 caramelized and the vinegar has thickened. Allow to cool.
Spread plastic wrap 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 plastic wrap). Place the caramelized rocoto and avocado slices in the center of the cream cheese.
Lift the plastic wrap on one side and gently roll up the mixture, jellyroll style. Secure the plastic wrap around the roll and refrigerate for 3 hours. To serve, discard the plastic wrap and serve with crackers or toasted baguette slices.