Place enough water in a medium size pot and heat it to high heat until it boils.
In a heat-resistant bowl, mix by hand using a whisk the egg yolks with the water for 2 minutes until the mixture gets fluffy and lightens a little.
Place this bowl on the pot with boiling water and, beating nonstop, add a third of the melted butter in a stream.
Beat in the lime juice and the other third of melted butter, all of this in a stream.
Add in the last part of the butter and beat until it is all completely incorporated, it should be somewhat thick.
Take the bowl away from the boiling water and season the mixture with salt and cayenne peppper.
Cover it up with plastic wrap (which must be touching the surface of the sauce) so that it doesn´t form a custard, and set aside until needed.
It is important to take into account that the sauce will thicken as it cools down, which is why it is recommended for you to add a teaspoon of the boiling water to it when you´re about to use it.