Cut peaches in half and remove the pits. Lightly brush peaches with olive oil. Place cut side down on grill pan and cook until grill marks are visible (approx. 3-4 min.). Turn peaches over and cook for an additional 1-2 min. Remove and let cool.
Lay out two large pieces of aluminum foil. Divide blueberries and place in the center of the foil. Fold all edges to seal foil packet completely ( you may need to use two layers of aluminum foil). Place packet on grill or grill pan and let cook for approx. 5-10 min. until blueberries are glossy.
Cut peaches into bite size pieces and divide between four parfait glasses. Add a scoop of frozen yogurt. Top with warm blueberries. Serve immediately.