Turn your grill on to medium-high heat.
Brush each side of the watermelon pieces with olive oil. Sprinkle with salt and pepper.
With the grill lid open, grill each watermelon piece just long enough to warm and show some of those fancy grill marks.
Plate the watermelon and sprinkle with blue cheese, prosciutto strips and basil.
Drizzle with the balsamic glaze.