Preheat the grill to medium-high heat.
Trim the asparagus ends and put them on a sheet pan. Add the olive oil and sprinkle with salt and pepper, to taste. Toss to coat. Grill the asparagus until tender, rotating on all sides, for about 5 to 10 minutes. Remove them from the grill to a platter. When cool enough to handle, wrap each asparagus with 1 piece (about 1/2 a slice) of prosciutto. Serve immediately or at room temperature.