In a steamer over boiling water, steam the broccoli for 4 to 5 minutes. If you don’t have a steamer addition for your saucepan, you can boil the broccoli for 1 to 1½ minutes.
Bring a saucepan of water to a simmer. To make the hollandaise sauce, in a heatproof bowl that will fit over the saucepan (without the bottom touching the water), quickly whisk the egg yolks and lemon juice together until the mixture becomes frothy and starts to expand, about 30 seconds.
Place the bowl over the saucepan, and continue to whisk. Slowly drizzle the melted butter in while stirring and continuing to whisk until the sauce has doubled in size, 3 to 4 minutes.
Remove from the heat, stir in the cayenne and a pinch of salt, and serve immediately or keep warm over a pan of warm (not hot) water until ready to serve.