Preheat the oven to 400°F. Line a small baking tray with parchment paper.
In a medium bowl, toss the diced red onion with the olive oil, salt, and pepper. Spread the onion evenly on the prepared baking tray.
Place the tray in the preheated oven and roast for 20 minutes, stirring occasionally, until the onion is softened and the edges begin to char. Remove from the oven and allow to cool.
In a large mixing bowl, beat the softened cream cheese with an electric mixer for 1 minute, until creamy. Add the sour cream, Worcestershire sauce, lemon juice, garlic, mayonnaise, and Parmesan cheese. Beat until smooth. Stir in the roasted onion just until combined. Adjust seasoning taste and serve.