Cut orange into large chunks until thick and smooth. Add salt and freshly ground black pepper to taste. Add a little of the reserved oil to make the puree smoother but still thick. Transfer to small bowl. Wash endives and dry.
Place leaves on platter or in flat wicker basket.
Cut rind and pith from remaining oranges and discard. Cut along membranes to release segments. Cut segments in half lengthwise and place 1 in each endive leaf. All rights reserved.