- 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
- 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.
The cocktail sauce can be refrigerated for 3 days.
Sparkling wines are refreshing enough to easily pair with both shrimp and grilled bacon. Try a cava from Spain like the NV German Gilabert or the NV Segura Viudas Brut Reserva.