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I season mine with some EVOO and S&P and put it directly on the grill.
I cook it direct, on a raised grid, at anywhere from 350 - 400.
You can also finely mash some garlic and add it to the EVOO before you coat the asparagus and you can add your favorite rub as well.
It is a little more trouble, but you can also wrap single pieces with proscuito and grill them or pin them together with bamboo skewers and wrap them in proscuito
It is hard to mess up.