1 Preheat oven to 400Â°F (205Â°C). Break or cut off the woody ends of the asparagus spears. For an added touch, if you want you can use a vegetable peeler to peel the skins off the base of the asparagus spears for a more elegant presentation. 2 Arrange the asparagus spears on a foil-lined baking sheet and coat with the olive oil. Sprinkle with salt, pepper and the parmesan. Bake until the cheese begins to brown, about 8-10 minutes.