In a small mixing bowl, combine crab meat, lemon zest, shallot, 1/4 teaspoon salt and white pepper. Refrigerate.

Make hollandaise sauce. In a blender combine egg yolk, lemon juice, 1/2 teaspoon salt and cayenne. Pulse blender for 5 seconds to combine all ingredients.

Heat butter in a saucepan over medium-high heat until melted butter reaches 185°F. With the blender on low speed, drizzle the melted butter into the blender through the hole on the top of the lid. Hollandaise should be thick and pale yellow. Keep warm while cooking steaks.

Remove crab mixture from refrigerator and preheat grill or oven.

To Grill: Season filet mignon steaks with additional salt and white pepper and grill to the desired doneness 125° - 130°F for medium rare, 140°F for medium and 150 °F for medium-well. To Bake: Preheat oven broiler. Put a large cast iron in the oven to preheat for steak. Reduce oven temperature to 450°F and, with a mitt or dry kitchen towel, remove cast iron pan and place on the stovetop over medium heat. Sear steaks for 2 minutes, flip. Place pan with steak back in oven for 5-6 minutes, until internal steak temperature is 120-125°F for medium rare, 140°F for medium and 150 °F for medium-well.

Allow steak to rest 5-10 minutes before topping with crab meat and warm hollandaise.