Heat the oil in a large saucepan. Add the spinach and a splash of water and cook for 2 minutes until wilted. Drain, pressing out the liquid, and finely chop.
Melt the butter in a small saucepan until bubbling but not browned. Set a small heatproof bowl over a saucepan of simmering water, ensuring that the bottom of the bowl doesn’t touch the water. Add the egg yolks and a good squeeze of lemon juice and whisk together. Whisking continuously, very slowly start to add the melted butter. As the mixture starts to thicken, you can add the butter a little more quickly. When thickened, season and add more lemon juice to taste, the Worcestershire sauce and cayenne.
Discard the flat top shell of each oyster. Place a little spinach in each shell and sprinkle with more cayenne. Sit the oysters on a baking sheet and spoon over the sauce. Cook under a hot grill for 1 minute until the sauce has lightly browned.