In a medium saucepan, melt butter over medium heat. Stir in flour and cook, stirring constantly, for 1 minute. Whisk in milk. Bring to a simmer and cook for 5 minutes.Remove from heat and stir in Parmesan, pepper and salt.
Lay asparagus in a single layer on a parchment-lined baking sheet. Brush with olive oil and season with some salt and pepper. Pour sauce over the middle of the spears, from side to side, leaving the top and bottom of the asparagus spears exposed. Roast in preheated oven for about 15 minutes, or until asparagus is just tender. Place pan under the broiler for a minute or so to brown up the cheeses sauce.
Remove from oven and let stand a few minutes. Using a spatula, carefully transfer asparagus (with sauce) to a serving plate.