In the container of a blender, combine the egg yolks, lemon juice, salt, and cayenne pepper. Cover, and blend for about 5 seconds.
Set the blender on high speed, and pour the melted butter into the egg yolk mixture in a thin stream. It will thicken almost immediately. Keep blending until all butter is incorporated.
Serve immediately or, if necessary, keep the sauce warm for up to 30 minutes by placing the blender container in a pan of hot tap water.
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