Melt the butter slowly in a small saucepan. Try not to let it boil because you want the moisture in the butter to remain there and not steam away.
While the butter is slowly melting, blend the egg yolks, lemon juice, salt, and cayenne pepper in a blender or with an immersion blender.
Blend for about 20-30 seconds or until lightened in color.
The friction from the blender blades will heat up the yolks a little bit while the blending will add air into the hollandaise, which makes it lighter.
Turn the blender down to it's very lowest speed and slowly drizzle in the melted butter while the blender is running.
Continue to blend for a few seconds to make sure the butter is fully combined.
Taste and add more lemon or salt if desired.
Pour into serving container and store in a warm place until used.
You can also place the serving container into a shallow bowl of hot water to help keep it warm.
Use within the hour.