How to Make It
Preheat the oven to 375°. Using a paring knife, score one side of each squash steak in a crosshatch pattern. Brush the steaks with olive oil and season all over with salt and cracked black pepper.
In a large cast-iron skillet, heat the 2 tablespoons of olive oil until shimmering. Add the squash steaks, scored side down, and cook over moderately high heat until well browned on the bottom, about 5 minutes. Flip and cook until browned on the second side, about 3 minutes. Transfer the skillet to the oven and roast the squash for about 7 minutes, until just tender. Transfer to a platter and tent with foil to keep warm.
In the same skillet, melt the butter. Add the shallot, garlic and thyme and cook over moderate heat, stirring, until softened, 2 minutes. Add the brandy and cook until almost evaporated, about 1 minute. Whisk in the broth and paprika and cook, scraping up any browned bits, until slightly reduced, about 3 minutes. Discard the thyme sprig. Whisk in the yogurt and season with salt and pepper. Spoon the sauce over the squash steaks, garnish with chopped parsley and serve.