In a small bowl combine egg yolk, parmesan cheese, reserved asparagus liquid, salt, pepper and cayenne pepper. Whisk well.
Once the pasta cooked to al dente and drained, return the penne back into pot with egg mixture. On a medium-low heat, continuously stir pasta until sauce thickens and sticks to pasta. Toss in asparagus and mix well.
Adjust salt and pepper to taste. Serve with fresh grated parmesan cheese.