Place the egg yolks, lemon juice, salt, and cayenne in a blender but do not blend. Set aside.
Melt the butter in a small saucepan set over medium-low heat until the butter foams and then begins to subside. The moment it does, turn the blender on low speed and drizzle in the melted butter in the slightest, smallest stream while the blades are running. Once all the butter’s been added, blend until smooth, about 15 seconds.