He had a 74, same as Rory McIlroy.
The Argentine shot a 6-over 78 on the day, putting him eight behind co-leaders Charley Hoffman and Kevin Kisner.
Grillo has solid game, and it showed when he finished in the top-20 at three of the four major events a year ago.
Aussie Jason Day, the world No. 2, was in a 12-man pack on 70 that also included South Africans Louis Oosthuizen and Trevor Immelman, Canadians Adam Hadwin and David Hearn, Sweden's Alex Noren and Aussie Aaron Baddeley. He decided instead to play Bay Hill for the fourth time in the last 10 years. He went straight from his follow through into the club toss.
And then, of course, there was the reptile that scared the bejesus out of Smylie Kaufman.
McIlroy, a four-time major champion, opened on the back nine with back-to-back bogeys, sending his first tee shot way left and his second into a fairway bunker.
This year's event is the first since tournament founder Palmer died in September at the age of 87 and numerous tributes are being made to the seven-time major victor.
Scores from the U.S. PGA Tour Arnold Palmer Invitational at the par-72 course on Friday in Orlando, Florida.
"This guy's such an icon in the game of golf and it's sad that no one gets to do that anymore", Day said.
Sam Saunders, the 29-year-old grandson of Palmer, had three straight bogeys around the turn and never caught up.
Saunders was two under par with five holes to play, but bogeyed the 14th and 16th and took six on the 18th after his approach finished in the rocks on the edge of a water hazard guarding the green.
"I felt like I was drinking a whole bottle of Ketel One, because that's obviously his favorite thing", Day said. "If I was lucky enough to win it, it would be even more of a celebration of his life. I had my emotional moment, looked at it, and then got my head where it needed to be to play the next hole".
McIlroy, who is making just his third start of the season due to a rib injury, told ESPN: 'There were positives in there. "It's actually made it go by kind of quickly, it's made it flow evenly for me, so it hasn't been a lot of sitting around and feeling emotions, just because I've been so busy, on top of trying to prepare for a golf tournament".
Even from there, however, a two-putt was a tall order.