Preheat the oven to 400°F. Cut the top off a whole head of garlic to expose the cloves. Drizzle olive oil over the garlic and wrap it in aluminum foil. Place it in the oven for 35 to 40 minutes.
The garlic is done when it is golden brown, soft, and smells sweet and nutty. Let it cool for about 10 minutes. Then, squeeze the cloves out; they should pop out easily.
Take 4 to 6 roasted garlic cloves and put them on a cutting board or in a small bowl. Use a fork to mash them into a smooth paste. The smoother you make it, the better it will mix with the mayo.
In a medium bowl, combine the mayonnaise, mashed garlic, Dijon mustard, Worcestershire sauce, salt, pepper, and cayenne, if you want. Use a whisk or spatula to mix everything until smooth.
Taste the sauce. If you want more garlic, add another clove. If you want it tangier, add a little more Worcestershire. Adjust the salt and pepper to match your taste.
Cover the bowl with plastic wrap or transfer the sauce to a jar. Place it in the refrigerator for at least 30 minutes before serving. Letting the sauce rest helps the flavors mix. For the best taste, let it sit overnight.
You will notice a difference between fresh sauce and sauce that has rested for 24 hours.