Melt butter, add flour and milk, whisking over low heat until thickened. Season to taste with approx. 1/2 tsp. Worcestershire, 1/4 tsp. salt, and 1/4 tsp. pepper. Remove from heat and stir in crab and minced red bell pepper – cool slightly.
Place pitted avocado halves on a baking pan lined with parchment paper. Spoon crab mixture into avocados and place in 350 degree oven. After 10 minutes, top with grated sharp cheddar and return to oven for until heated through and starting to brown. Serve garnished with black olives.