Heat a slug of the oil and the butter together in a large heavy bottomed pan and add the onions. Stew the onions stirring frequently until all the cooking juices evaporate and the onions start to caramelise. Begin to stir continuously, to prevent the onions from sticking and burning and cook until they reach a light brown nutty colour.
Add the garlic, thyme, nutmeg, stock, and seasoning and bring up to the boil. Simmer gently for fifteen minutes then add the sherry and simmer for a further fifteen minutes to evaporate off the alcohol. Correct the seasoning and keep warm.
For the croutes preheat your oven to 325 F / 170 C / Gas mark 3 and thinly slice the baguette. Lay the pieces on a baking tray and drizzle with the remaining oil. Place in the oven and bake for forty minutes until golden brown.
Turn up the oven to 375 F / 190 C / Gas mark 5. Pour the soup into six ovenproof bowls and top with the croutes and the grated cheeses then sprinkle with the Cayenne. Place the bowls on a tray and place in the oven for fifteen minutes until the cheese is golden brown and bubbling.
Take out of the oven, top with chopped parsley and serve. Please warn your guests about the hot bowls.