Heat the oil in a medium saucepan over medium heat. Add the shallots and cook until browned, 7-10 minutes. Add the mushrooms and thyme and cook until the mushrooms release their juices, 2-5 minutes more. Pour in the wine and increase the heat to high. Once the wine has evaporated (1-2 minutes), pour in the mushroom stock. Bring to a boil, then continue to boil for 8-10 minutes, until the stock has reduced and thickened slightly.
Whisk the water and flour in a small bowl. Pour the flour mixture into the gravy and reduce the heat to low. Simmer until the gravy thickens, about 2 minutes. The gravy will thicken even more as it cools. Season to taste with salt and pepper.
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