Bring the mulled wine spice bag, star anise, cloves, red wine and apple juice to the boil and let it steep for about 20 minutes. Wash the orange, rub dry and remove the zest. Squeeze the orange. Add juice, zest and jam sugar to the mulled wine and bring to the boil.
Let it boil for 3-4 minutes. Place prepared glasses on a damp cloth. Fill jelly immediately into the glasses, close them, put them on the lid and let them stand for 5 minutes. Turn over again and let it cool down