Melt the butter in a small sauce pan. Place the egg yolks, lemon juice, 1 1/2 teaspoons salt, 3/4 teaspoon pepper and cayenne in the jar of a blender. Blend for 15 seconds. With the blender running, slowly pour the hot butter into the blender and blend for 30 seconds, until the sauce is thick. (You can leave it in the blender at room temperature for up to 1 hour. If it is made in advance, add 1 tablespoon hot tap water and blend for a few seconds before serving.)
Break off the tough ends of the asparagus and, if they're thick, peel them. Place the asparagus on a baking sheet, drizzle with olive oil, then toss to coat the asparagus completely. Spread the asparagus in a single layer and sprinkle liberally with salt and pepper. Roast the asparagus for 15 to 20 minutes, until tender but still crisp.
Pour the hollandaise sauce over the warm asparagus and serve.