Drizzle the cheese with the olive oil and place on the grill. Grill the cheese until grill marks appear and it begins to melt slightly, about 2 minutes per side. Place the rolls on the grill and allow to lightly toast.
Toss the watermelon, basil, mint and shallot in a medium bowl. Season with salt and pepper. Toss the arugula with the lemon juice in another bowl and season with salt and pepper. Spread one side of the toasted rolls with olive tapenade. Layer the halloumi, watermelon relish and arugula on each roll and serve.