Lay a large sheet of foil in a large roasting pan, leaving plenty overhanging the edges. Add carrot in a single layer, then dot with butter and thyme leaves. Drizzle over oil and season well.
Place another sheet of foil over the carrot and fold 3 of the edges together to seal. Carefully pour in the wine and orange juice, then secure the foil to make a parcel. Roast for 20-30 minutes until carrot is tender, then serve.