Place the peeled, seeded, and cut butternut squash chunks in a large glass bowl. Cover with plastic wrap and microwave for 15 minutes.
Meanwhile, heat the olive oil or butter over medium heat. Add the leek and cook until softened, about 5 minutes.
Reserve the liquid from the butternut squash stemming. Add the squash to the pan with the leek and cook until a brown fond forms (be careful not to burn it!) on the bottom of the pan, about 10 minutes, stirring occasionally.
Add the stock and and scrape the bottom to get all the brown bits off (that is all the flavor!). Add the thyme, bay leaves, cayenne and liquid from the butternut squash and bring to a simmer. Simmer until the leeks are fully tender, about 10 minutes.
Remove the bay leaves and thyme. Blend the soup in a high-speed blender or with an immersion blender. Add water, 1/2 cup at a time, to thin the soup to to the consistency you like.
Season to taste with salt and more cayenne pepper. Enjoy!