3 tablespoons vegetable oil, plus more for grilling
3 tablespoons fresh thyme
2 tablespoons finely chopped parsley
2 pounds large shrimp—shelled, deveined and butterflied, tails left on
3/4 pound ham, sliced 1/2 inch thick and cut into forty-five 1-inch pieces
3/4 cup apple jelly
1/4 cup apple juice
1 serrano chile, minced
In a large bowl, combine the hot sauce with the 3 tablespoons of vegetable oil and the thyme and parsley. Add the shrimp and toss well to coat. Cover with plastic wrap and refrigerate for 4 hours.
Remove the shrimp from the marinade, wiping off some of the excess. Lay a piece of ham in the curl of a shrimp. Wrap the shrimp around the ham and secure with a toothpick. Repeat with the remaining ham and shrimp. Season lightly with salt.
In a medium bowl, whisk the apple jelly with the apple juice and chile. Transfer half of the jelly glaze to a small serving bowl and set aside.
Light a grill or preheat a grill pan and lightly brush with oil. Grill the shrimp over moderately high heat, basting several times with the remaining jelly glaze, until just cooked through, about 2 minutes per side. Discard the jelly glaze used for basting. Drizzle the grilled shrimp with a spoonful of the reserved jelly glaze and serve, passing any remaining glaze for dipping.