Presoak a clay pot, top and bottom, in water for 15 minutes.
Place the freshly chopped spinach in the bottom of the presoaked pot.
Top with the oysters, then cover with the sliced Cheddar cheese and sprinkle with the capers.
Combine the melted butter, lemon juice, salt and cayenne and pour over the oysters.
Cover the pot and place it in a cold oven.
Meanwhile, bring the liquid in the saucepan to a boil, add the arrowroot, and stir until thickened.