Preheat oven to 425°. Cut parchment or heavy-duty foil into six 15x10-in. pieces; fold in half. Arrange citrus slices on 1 side of each piece. Top with fish and asparagus. Spritz with cooking spray. Sprinkle with salt, pepper and parsley. Drizzle with lemon juice.
Fold parchment over fish; draw edges together and crimp with fingers to form tightly sealed packets. Place in baking pans.
Bake until fish flakes easily with a fork, 12-15 minutes. Open packets carefully to allow steam to escape.