1Place a rack in upper third of oven and preheat to 350°F. Scatter almonds across a rimmed baking sheet and toast, tossing once, until darkened a little and fragrant, 8–10 minutes. Let cool slightly, then coarsely chop.
2Cook anchovies, garlic, oregano, lemon zest, orange zest, butter, and 2 Tbsp. oil in a small saucepan over low heat, swirling occasionally, until garlic is golden, 15–20 minutes. Remove from heat; stir in orange and lemon juices and season with salt and pepper. Let bagna cauda sit while you prepare the asparagus.