Grill orange slices over medium-high heat 2 to 3 minutes per side or until charred.
Place charred orange into 1-quart saucepan. Add remaining ingredients; bring to simmer on medium heat, stirring occasionally to dissolve sugar. Let stand to cool slightly.
Ladle into clean 1 pint-size canning jar. Wipe rim of jar clean with damp cloth. Cover jar with clean metal lid and screw on band.
Refrigerate at least 2 to 3 days before using. Store in refrigerator up to 2 weeks.