It's its ovipositor & it's trying to dig a hole to lay its eggs.
> "How Do Grasshoppers Dig Holes to Lay Their Eggs? After breeding, female grasshoppers dig a hole in the ground in which to lay their eggs by using a special tube in their abdomen known as an ovipositor. The ovipositor is first used to dig the hole, and then to deposit the eggs one by one into the hole"
Probably not having much success on tarmac, did it eventually move onto soil?