Preheat oven to 375.Place peppers on cookie sheet and drizzle with olive oil, salt and pepper.Roast for about 20 minutes.Place peppers in a bowl and cover tightly with plastic wrap for thirty minutes.Remove plastic wrap, peel skin from peppers and dice peppers.Add grits, salt, pepper and butter to 6 cups water.Bring to a boil, whisking frequently.Once boiling, turn down to low and cover, stirring frequently.After 20 minutes, add cream and both cheeses.Cook on low for 5-10 minutes then gently stir in peppers.Season to taste with additional salt and pepper.Remove from heat and serve.