Preheat oven to 425°F. Lightly grease a large baking pan with non-stick cooking spray or line with parchment paper. Set aside.
Take 3 spears of asparagus and wrap with one slice of prosciutto. Repeat with remaining spears. Place onto prepared baking pan. Drizzle asparagus evenly with olive oil and then season with salt and pepper.
Roast 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.