This is one of those dishes that was born out of my years of catering and the necessity to come up with something new for cocktail parties. Roasting the asparagus is fast and easy and gives a lot more flavor than simply steaming.
Preheat the Oven to 450 degrees F. Peel the bottom half of each asparagus. On a heavy baking sheet, toss the asparagus with the oil, salt, and pepper. Put in the oven and roast until the asparagus is tender, about 15 minutes. Let cool completely.
Wrap each asparagus with 1 piece of prosciutto, exposing the tips. Arrange on a platter and serve at room temperature.
when buying asparagus, you want to look for firm stems, not wilted ones, and you want the tops to be tight and closed, not like a flower whose buds have opened. These are characteristics of fresh asparagus. To trim them, all you need to do is break off the dry, fibrous ends.