Heat the oven to 500 degrees F.
Lay the asparagus on a long double layer of heavy-duty aluminum foil. Drizzle with the olive oil and toss to coat. Spread the spears into a single layer. Fold the edges of the foil to make a tray. Roast in the oven for 5 minutes. Carefully toss the spears with tongs and roast just until tender and tips begin to brown, about 5 minutes more. Sprinkle with the zest, salt, nutmeg, and pepper, to taste, and toss to evenly distribute. Transfer to a serving platter and serve immediately.