Squeeze the lemon to get the 2 tablespoons of juice you will need for later. Leave it aside.
Find a medium-sized heatproof bowl and a saucepan that the bowl sits snuggly into.
One third fill the saucepan with water and then set the bowl back on top.
Remove the bowl and check that the underside isn't wet. If it is, remove a little bit of water until the bowl is sitting above the water in the saucepan and not in it. Then leave the water in the pan for a minute and place the bowl on the bench.
Into the bowl add the yolks, vinegar, as well as 3 tablespoons of cold water and whisk it all together. Leave aside.
Place the butter in a small saucepan and over a low heat, leave it to melt. Once done, turn off the heat and leave it to cool down a little while you make the sabayon.
Over a high heat, bring the water in the saucepan to the boil and then turn the heat down to medium/low or low, or to where the water is barely simmering (a very soft boil). (If the water is too hot it will cause the egg mixture to scramble.)
Place the bowl back on top of the simmering water and slowly whisk it until the sabayon has thickened and tripled in size (also making sure you whisk up around the sides so it doesn't stick there). It should look like softly whipped cream (just as a rough guide mine took 4 minutes).
When it's nice 'n' thick 'n' creamy, turn off the heat. Remove the bowl from over the pan and place it onto a damp, folded over tea towel (this is to stop the bowl moving around when you are whisking in the butter).
While vigorously whisking, slowly pour in the butter (which still should be warm), a constant thin stream. Just keep slowly pouring it in and whisking until all the butter has been added.
Still using the whisk gently fold through the lemon juice, salt and cayenne pepper.
Cover the bowl with aluminium foil and leave on top of, or right by the stove (but not directly by a heat source) until needed.
If you like, chop up and sprinkle chives over the top and/or sprinkle over a very small amount of cayenne.