Follow Zafer Caddesi to the old bridge at the end of the village to head out into this small valley studded with fairy chimneys. There are four rock-carved chapels and one monastery here, though most are kept locked and are disappointing in comparison to other Cappadocian churches. Still, it makes for a lovely walk.
The St Nicholas Monastery, rebuilt in the 1870s, is the most interesting and even though it's usually closed you can peer through the railings to get a good look at the exterior. The tourist office, above the teahouse next to the Ayios Kostantinos-Eleni Kilise, has the key. You can sometimes convince staff there to unlock it for you, though they're more willing to do it for groups than solo travellers.
From the monastery, take the right-hand fork off the main path to arrive at the St John the Baptist Church, hollowed out of rock cone. Scramble up the trail and squeeze through the broken rock to see the very dilapidated and graffiti-covered interior with its broken columns and scraps of colourful frescoes.