Snap the dry stem ends off of each asparagus and place on a heavy baking sheet. Drizzle with olive oil, sprinkle with salt and pepper, and toss. Roast until the asparagus is tender, about 15 minutes. Cool completely.
Wrap each asparagus with 1 piece (about 1/2 a slice) of prosciutto, exposing tips. Arrange on a platter and serve at room temperature.