In a small saucepan over medium heat, add balsamic vinegar, honey, and cayenne pepper; stir to blend. Simmer until the mixture has a syrupy texture and has reduced by half, about 15 minutes.
Remove from the heat and let it cool off for 10 minutes.
Meanwhile, wrap a slice of prosciutto around a cantaloupe wedge and transfer to a serving plate while doing the others.
When the glaze is cool enough, drizzle it on the prepared melon, garnish with basil leaves and serve immediately.