Add the egg yolk, water, lemon juice, kosher salt and cayenne pepper into a cup that just fits the head of an immersion blender. I used a 16-oz coffee mug.
Cube the butter, and place it in a glass measuring cup. Melt the butter in the microwave, in 30-second increments.
Place your immersion blender into the bottom of the cup and turn it on. With the blender running, very slowly pour the melted butter into the cup. The butter will emulsify with the egg yolk and lemon juice, resulting in a thick, creamy sauce.
Transfer the hollandaise sauce to a serving dish.
Serve immediately. Hollandaise sauce cannot be cooled and reheated, but it will keep for up to one hour at warm room temperature.
Slightly adapted from Serious Eats.Consuming raw or undercooked meats, poultry, seafood, shellfish, or eggs may increase your risk of foodborne illness.