Combine egg yolk, water, lemon juice, and a pinch of salt in the bottom of a cup that barely fits the head of an immersion blender. Melt butter in a small saucepan over high heat, swirling constantly, until foaming subsides. Transfer butter to a 1 cup liquid measuring cup.

Place head of immersion blender into the bottom of the cup and turn it on. With the blender constantly running, slowly pour hot butter into cup. It should emulsify with the egg yolk and lemon juice. Continue pouring until all butter is added. Sauce should be thick and creamy, able to coat a spoon but still flow off of it. If it is too thick, whisk in a small amount of warm water, 1 tablespoon (15ml) at a time, to thin it out to the desired consistency. Season to taste with salt and a pinch of cayenne pepper or hot sauce (if desired). Serve immediately, or transfer to a small lidded pot and keep in a warm place for up to 1 hour before serving. Hollandaise cannot be cooled and reheated.