In a small bowl, mix the smoked paprika, brown sugar, garlic powder, onion powder, kosher salt, black pepper, oregano, and cayenne if using.
Pat the chicken thighs very dry with paper towels.
Rub the thighs all over with the olive oil. Sprinkle the dry rub over both sides and press it into the skin.
Preheat the air fryer to 380°F (193°C) for 3 to 5 minutes.
Place the thighs skin side down in a single layer, without touching. Cook in batches if needed.
Air fry for 12 minutes.
Flip the thighs skin side up and air fry 10 to 14 minutes more, until the thickest part reaches at least 165°F (74°C). For the most tender meat, cook to 175°F to 185°F.