Cut orange into quarters and squeeze juices into pan then place oranges in the pan, too.
Add sugar, cinnamon, nutmeg and water. Bring to a boil then turn to a gentle boil and cook until cranberries burst and start to break down, stirring a few times, about 10-12 minutes.
Remove from heat and stir in vanilla. Let cool completely then transfer to a bowl to chill in the refrigerator. Sauce will thicken as it chills.