Prep the asparagus. Snap or cut off the woody ends. If your spears are thick, peel the lower third with a vegetable peeler for even tenderness.
Season lightly. Toss asparagus with 1 tablespoon olive oil and a few grinds of black pepper.
Go easy on salt since the ham brings plenty.
Wrap with Parma ham. Cut each slice of Parma ham lengthwise to create long ribbons. Wrap each asparagus spear in a spiral, slightly overlapping as you go. Leave the tip exposed so it can crisp nicely.
Choose your cooking method. Oven: Heat to 425°F (220°C).
Arrange spears on a parchment-lined sheet. Roast 10–14 minutes, turning once, until the ham is slightly crisp and the asparagus is tender with a bit of bite.
Grill: Preheat to medium-high. Oil the grates.
Grill 6–8 minutes, turning occasionally, until lightly charred and cooked through.
Pan-sear: Warm 1 tablespoon olive oil in a large skillet over medium-high heat. Sear 6–8 minutes, turning to crisp all sides.
Finish with lemon and oil. Transfer to a platter. Zest the lemon over the top, squeeze on 1–2 teaspoons of juice, and drizzle with a little extra-virgin olive oil.
Taste and adjust. Add a pinch of sea salt only if needed and more pepper to taste.
Garnish with shaved Parmesan, chives, or a pinch of red pepper flakes if you like.
Serve warm or at room temperature. They’re great straight from the oven or after a short rest.