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Preheat the oven to 350 degrees F (180 degrees C). Grease a 9x5-inch loaf pan and line with parchment.
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Add 1 tablespoon olive oil to a large skillet over medium-high heat. Add spinach and cook, stirring, until just barely wilted, 1 to 2 minutes. Place a strainer over a bowl; transfer in spinach and let cool. When cool enough to handle, squeeze out all excess water, and set aside.
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Crack eggs into a bowl; whisk with salt, black pepper, and cayenne until egg whites disappear. Refrigerate until needed.
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Add remaining olive oil to the same skillet and place over medium-high heat. Add shallots, red pepper, and a big pinch of salt; cook, stirring, until peppers are nearly tender, about 4 minutes. Reduce heat to medium if vegetables are browning before getting tender.
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Add potatoes, season to taste with salt, and, and cook, stirring, until potatoes are heated through and vegetables are tender, a few minutes more.
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Add spinach and egg mixture, and cook, stirring, until a very soft scramble is formed. Turn off the heat and stir in cheese. Pour into the prepared pan. Tap the pan on the counter a few times to settle the contents down.
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Bake in the preheated oven until a bamboo skewer inserted near the center comes out clean, 20 to 25 minutes. Cooking time will vary depending on how much or which vegetables you use in the frittata.
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Let frittata cool for about 10 minutes, then remove from the pan. Frittata can be served hot, warm, at room temperature, or cold.