Combine water, honey, and butter in a small saucepan; heat until butter melts. Cool until really warm, but not hot. Combine wheat flour, oats, yeast, and salt in a large mixing bowl; stir well. Gradually add hot liquid mixture, beating at low speed of an electric mixer 1 minute. Add egg, and beat an additional 2 minutes at medium speed. Gradually add flour to make soft dough. Turn dough out onto a heavily floured surface, and knead until smooth and elastic (about 8 minutes). Shape dough into 24 balls; place in a lightly greased 13x9x2 inch pan. Cover and let rise in a warm place free from drafts, 1 hour or until doubled in bulk. Bake at 375 degrees for 20 minutes or until lightly browned.