In a small saucepan over medium-high heat, bring water and sugar to a boil, stirring frequently, until the sugar has completely dissolved and the liquid is clear. Remove from heat and let it cool completely.
Make the sangria:
Wash the orange, slice the ends off, slice it in half, and then into half-moon slices. Transfer the orange slices to a pitcher.
Pour the red wine, tequila, Grand Marnier (or Cointreau or triple sec), and lime juice into the pitcher. Use a long wooden spoon to stir.
Refrigerate
Refrigerate the pitcher of sangria for 1 hour. Can be made a day ahead.
Serve
Pour the sparkling water into the pitcher and stir to combine.
Fill glasses with ice and pour the sangria over the ice. Add a couple of boozy orange slices from the pitcher into each glass and enjoy.