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Combine greek yogurt, mayo, Worcestershire sauce, dry mustard, garlic powder, lemon juice, salt, pepper and cayenne in a bowl and stir until well mixed.
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Gently stir in the blue cheese, being careful not to break up the large chunks.
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Add milk 1 tbsp at a time until desired consistency is reached. For a thicker dip use less milk, for more of a dressing consistency use full 1/4 cup of milk. Stir until well blended.
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Store in refrigerator for up to one week.