Heat over to 400ºF. To make sauce, melt butter in saucepan. Add flour and cook for about a minute, stirring well with a wire whisk to eliminate lumps. Slowly add milk, continuing to stir. Next, stir in cup of reserved liquid from cooking endives until the sauce is smooth and thickened. Continue to simmer and stir for several minutes until all traces of flour have been dissolved. Remove saucepan from heat and fold in 1/4 cup of cheese. Add pepper, salt and nutmeg to taste.
Butter a baking dish large enough to hold single layer of endives. Wrap each endive in slice of ham and place in dish. Cover endives with sauce and top with remaining grated cheese. Place dish in oven and bake for about 15 minutes. Next, move dish underneath preheated broiler to brown the cheese~watch carefully to prevent burning. Serve immediately. Serves about 6.