Separate the egg yolks from the egg whites. Store the egg whites in an airtight container in the fridge for another recipe.
Add the egg yolks to a small non-reactive saucepan with water, lemon juice, and dijon, and whisk until well-combined.
Cut the butter into small pieces and add them to the egg mixture.
Place the pot over medium-low heat, whisking the mixture constantly. As the butter melts, it will get a little frothy. Continue whisking constantly for about 3 minutes or until the mixture starts to thicken then immediately remove from heat. It should be thick enough to coat the back of a spoon.
Season with salt and cayenne pepper, adding more seasoning to taste. Serve right away or cover to keep warm. If the sauce gets too thick, whisk in a teaspoon of warm water to loosen it up.