Preheat oven to 425°F.
Take 3 spears of asparagus and wrap with one slice of prosciutto. Repeat with remaining spears.
Place onto a baking pan. Drizzle asparagus evenly with olive oil and then season with salt and pepper.
Bake for 8-10 minutes, or until asparagus is crisp.
Remove from oven and allow to cool for 5 minutes. Then, top with feta. Serve immediately.