How to Make It
Preheat the oven to 300°. In a large enameled cast-iron casserole, heat the olive oil. Add half of the octopus and cook over moderately high heat, turning, until lightly browned all over, 3 to 5 minutes. Transfer to a plate. Repeat with the remaining octopus.
Add the shallots and garlic to the casserole and cook over moderate heat, stirring, until lightly browned, about 2 minutes. Add the pimentón and cook, stirring, until fragrant, about 20 seconds. Carefully add the sherry and bring to a boil. Return the octopus to the casserole, cover and braise in the oven until very tender, about 1 hour and 30 minutes. Let the octopus cool completely in the liquid.
In a medium saucepan, toast the chiles over moderate heat, turning, until fragrant and pliable, 2 to 3 minutes. Add the vinegar, honey and garlic and bring just to a simmer. Remove from the heat and let stand until the chiles are softened, about 20 minutes. Transfer to a blender and puree until smooth. With the machine on, gradually add the grapeseed oil until incorporated. Season the ancho chile sauce with salt.
Remove the octopus from the liquid. Using a paper towel, wipe the purple skin off the tentacles, leaving the suckers intact. Cut the head in half. Discard the braising liquid.
Light a grill or preheat a grill pan and brush with canola oil. Grill the octopus over high heat, turning, until lightly charred all over, about 4 minutes. Transfer to a baking sheet and immediately brush with some of the ancho chile sauce. Serve with the jicama salad, passing the remaining sauce at the table.