Rinse rosemary and shake dry. Cut 1 sprig into 4 pieces; pluck remaining rosemary and finely chop.Rinse orange, wipe dry and cut 8 thin slices out of the middle (save the rest for another use).Rinse cod fillets and pat dry. Season with salt, pepper and chopped rosemary.Lay 1 piece rosemary and 2 orange slices on each of the fish fillets. Secure with kitchen twine.

Coat an aluminum tray with the oil. Put fish bundles on a hot grill and cook on each side for 4-5 minutes. Serve immediately.