Preheat oven to 425°F (220°C). Whisk flour, baking powder, baking soda, and salt. Cut in cold butter until pea-sized pieces remain. Stir in buttermilk and egg until a shaggy dough forms.

Pat dough into a rectangle, fold over itself a few times, then pat to 3/4-inch thickness. Cut biscuits without twisting, place on a lined baking sheet, brush with buttermilk, and bake 12 to 15 minutes until lightly golden.

While biscuits bake, crumble sausage into a skillet over medium-high heat and cook 6 to 8 minutes until browned. Do not drain.

Sprinkle the flour over the sausage, stir, and cook for 1 minute. Slowly whisk in the milk, scraping up browned bits.

Bring to a simmer, reduce heat to medium-low, and cook 5 to 7 minutes until thickened. Stir in salt, pepper, and cayenne if using.

Split warm biscuits and spoon gravy generously over the top. Serve right away.