Guide:
Location of the shard is in the southern part of Wrothgar, west from Merchants Gate and its Wayshrine, in the area marked as Graystone Quarry.
If you have reached this part of the map from Merchant’s Gate, this would be the closest outdoor Skyshard. It was the first I found in this zone.
Find the Graystone Quarry and head toward its southern part (it is a rather large excavation operation). The skyshard is hidden on a wooden platform. This is the tallest, reachable area. To collect it, jump between the wooden bars on top of the platform. Although it may not look like it, you can squeeze through.