Step 1: Wash the okra under cold running water and blot dry with paper towels. Trim the tips off the stem ends of the okra, but do not cut into the pods. Place in a large mixing bowl and toss with the oil. Add the Cajun rub and toss to mix. Arrange the okra in a single layer in a grill basket.
Step 2: Set up the grill for direct grilling and preheat to high. Place the okra in the grill basket directly on the grill grate. Grill until nicely browned on all sides, about 4 minutes per side, turning with a spatula. Arrange the okra a platter with the Smoky Remoulade Sauce in the center.