The most common and most likely answer to this crossword clue is the 9 letter word ENWRAPPED
I've seen this crossword clue in The Times
E
N
W
R
A
P
P
E
D
More clues leading to the result ENWRAPPED
Buddy explains!

The straight part
We know that "Fascinated" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case fascinated = enwrapped.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does ENWRAPPED mean?
ENWRAPPED verb- To wrap around, surround; to envelop
- To absorb completely or engross