Step 1Clean the asparagus: Take a spear and hold it between two fingers about 1 inch above its end. Using your other hand, bend the base tip until it breaks; discard the broken bit and trim the end. Repeat with the rest of the spears.
Step 2Finely grate the peel of half the lemon and half the blood orange into a medium mixing bowl. Juice the entire lemon into the bowl and add a splash of water.
Step 3Slice each of the asparagus spears into very thin lengthwise strips using a mandoline or vegetable peeler. Toss the spears with the citrus zest-water; this will keep the slices from oxidizing and turning brown.
Step 4Toast the nuts: Heat a cast iron skillet, or heavy-bottomed saute pan, on high and toss in the walnuts. Toast the walnuts, shaking the pan occasionally, until they are fragrant and toasted on all sides, about 5 minutes. Stir in a pinch of salt and pepper. Drizzle one-half teaspoon olive oil over the nuts, then stir to combine and remove from heat. Set aside.
Step 5Combine the minced chives with the goat cheese in a small bowl. Spoon about 1 tablespoon cheese into your hands and roll the cheese into a ball. Repeat with the remaining cheese to form 8 to 10 balls. The cheese can be used immediately or stored: Place the extras in a shallow bowl or Tupperware container and cover with olive oil. These will keep in the refrigerator indefinitely and get better every day.
Step 6Peel and section the orange: Using your sharpest knife, slice off the top and bottom of the blood orange, cutting just deep enough to get past the pith. With the cut bottom flat against the cutting board, slice downward, following the curve of the fruit to remove the peel. Hold the now skinless fruit in your hand and cut into it, making careful incisions alongside each line of pith to free the segments. Do this over another bowl to catch all the juice.
Step 7Remove the asparagus from its marinade and set aside. Add the blood orange juice to the marinade mixture along with the mustard and sherry vinegar and then whisk in the remaining olive oil slowly to emulsify. Season to taste with salt and pepper.
Step 8To plate each salad, make a sheet of shaved asparagus by layering the slices one after another on your palm. They will adhere to one another just enough to make a little blanket. Place a pile of the toasted walnuts at the center of each plate, drape the pile with asparagus loosely arranged in a layer, top with orange segments and accompany with rolled chevre. Drizzle the dressing over top and serve.