Preheat the oven to 350 degrees. In a skillet, melt the butter. Add the shallots and thyme and cook over moderate heat for 2 minutes. Add the vermouth and reduce by half. Transfer to a bowl; whisk in the mustard, egg, tarragon, and a pinch of salt and pepper.

Set the lamb fat side down and season with salt and pepper. Rub one-fourth of the mustard mixture on the meat. Roll up; tie at two-inch intervals with kitchen string.

Heat the oil in a roasting pan. Add the lamb and sear over high heat until browned all over, 8 minutes. Transfer to a plate and remove the strings. Rub with the remaining mustard mixture and pat the bread crumb coating all over. Roast the lamb in the roasting pan for 50 minutes, until an instant-read thermometer inserted in the center registers 130 degrees for medium-rare. Let rest for 15 minutes before carving.