Bring a large pot of salted water to a boil. Add asparagus; cook 1 minute. Transfer immediately to a bowl of ice water to quickly cool. Pat with paper towels until very dry. (You can wrap the asparagus in paper towels and store in a resealable plastic storage bag in the refrigerator overnight.)Advertisement
Cut ham slices in half lengthwise to create strips. Wrap each asparagus spear in two half-slices of ham. Brush with olive oil. Prepare a gas or charcoal grill for direct cooking over medium heat. Place asparagus on rack; grill, covered, until lightly charred, 2 to 3 minutes. (Or, you can crisp the asparagus under the broiler.) Serve warm or at room temperature.
Serrano is a specialty ham from Spain. It's available at some specialty markets, but if you can't find it, prosciutto is a great substitute with a similar flavor for less money.