Ingredients

  • 1/2 cup extra-virgin olive oil, plus more for brushing
  • 2 teaspoons finely grated lemon zest
  • 1/4 cup fresh lemon juice
  • 6 garlic cloves, thinly sliced
  • 6 small jarred or dried Calabrian chiles, minced
  • 20 jumbo shrimp, shelled with tails intact
  • 10 slices of bacon, cut in half crosswise
  • 1 cup ketchup
  • 1/3 cup prepared white horseradish, drained
  • 1 small shallot, minced
  • 1 tablespoon red wine vinegar
  • 1 teaspoon finely grated lemon zest
  • 1 1/2 tablespoons fresh lemon juice
  • Kosher salt
  • Freshly ground pepper
  • Lemon wedges, for serving

Method

  • Prepare the shrimp In a large baking dish, whisk the 1/2 cup of oil with the lemon zest, lemon juice, garlic and chiles.
  • Wrap each shrimp with a piece of bacon and add to the marinade.
  • Cover and refrigerate for 1 hour; turn the shrimp halfway through marinating.
  • Make the cocktail sauce In a bowl, whisk the ketchup, horseradish, shallot, vinegar, lemon zest and lemon juice.
  • Season with salt and pepper.
  • Make the cocktail sauce Light a grill or preheat a grill pan; brush with oil.
  • Season the shrimp lightly with salt and pepper.
  • Grill over high heat, turning once, until the bacon is browned and the shrimp is just cooked through, 4 to 6 minutes.
  • Transfer the shrimp to a platter and serve with the cocktail sauce and lemon wedges.