How to Make It
Preheat the oven to 350° and lightly butter a 9-by-13-inch shallow baking dish. Bring 8 cups of water to a boil in a very large, deep skillet. Add the asparagus peels and salt the water. Add the asparagus bundles to the skillet and cook over high heat until tender, about 12 minutes. Transfer the asparagus to a platter and pat dry. Strain the asparagus broth into a large glass measuring cup.
Melt the butter in a medium saucepan. Whisk in the flour and cook over moderately high heat for 1 minute. Add 1 1/2 cups of the asparagus broth and cook over moderate heat, whisking constantly, until the sauce thickens, about 5 minutes. Season the sauce with salt, pepper, lemon juice and nutmeg.
Remove the strings from the asparagus and loosely roll a slice of ham around each bundle. Transfer the asparagus and ham bundles to the prepared baking dish and pour the sauce on top. Sprinkle with the cheese and bake the gratin in the upper third of the oven for about 25 minutes, or until the cheese is melted and the sauce is bubbling.