Preheat oven to 400°. Place half the olive oil in a roasting pan that will hold the asparagus spears in a single layer. Swirl it around so that it covers the bottom of pan. Cut each slice of Serrano ham in half lengthwise.
Trim and discard the coarse woody ends of the asparagus spears, then wrap each stem end in a slice of ham. Place the wrapped spears in the prepared roasting pan and lightly brush with the remaining olive oil. Season with pepper.
Roast asparagus spears for 10 minutes, depending on the thickness of the asparagus, until tender but still firm. Do not overcook; keep them firm enough so that you can pickup with your fingers.
Serve piping hot and with your favorite Aioli Sauce for dipping.