Set up a double boiler by bringing an inch or two of water to a simmer in a saucepan. Ensure the bowl for the hollandaise fits snugly over the saucepan without touching the water.

In the heatproof bowl, whisk together the egg yolks, lemon juice, salt, and cayenne pepper until well combined.

Place the bowl over the simmering water. Gradually drizzle in the melted butter while continuously whisking the egg yolk mixture. Continue to whisk vigorously until the sauce thickens and reaches a velvety consistency.

Remove the bowl from the heat once thickened. If the sauce becomes too thick, whisk in a teaspoon of warm water until desired consistency is achieved.

Serve the Hollandaise sauce immediately over asparagus, eggs Benedict, steamed vegetables, or fish.