Heat oil over medium heat in a medium saucepan until shimmering. Add the shallot and cook until soft and translucent about, 2-3 minutes.
Add white wine and simmer until reduced by half, about 2 minutes.
Whisk in mustard, cream and water. Simmer until thickened slightly, 3-5 minutes.
Remove from heat and add fresh dill. Season to taste with salt and pepper.
Notes
The sauce can be made up to 3 days in advance and reheated before serving. Store in a tightly sealed container in the refrigerator until you are ready to use.