Preheat your oven to 375 degrees. Take out one sheet of Phyllo dough. Separate the layers in half so that it won't be too thick.
Season the asparagus with salt, pepper, and nutmeg.
Trim the bottoms of the asparagus and lay them on top of the dough. Using a pizza cutter, cut of enough dough to cover the asparagus minus the tip.
Wrap the dough around the asparagus and place onto a baking sheet lined with Parchment paper. Drizzle some oilve oil and kosher salt on top of the wrapped asparagus.
Bake in the oven for 15-20 minutes until the dough is browned and the asparagus is softened. Serve immediately with your favorite dipping sauce.