Skewer okra or place in a grill basket to prevent it from going through the grill grates while cooking. Drizzle with olive oil and place onto grill that has been preheated to around 450º F.
Cook until the skin of the okra begins to caramelize and then flip to cook the other side.
Remove from the grill and sprinkle with salt and pepper to taste. Add cayenne pepper, if desired.