How to Make It
In a saucepan, melt the butter. Add the shrimp shells and cook over moderate heat, stirring, until pink, 3 minutes. Add the 1 chopped onion and cook until softened, 3 minutes. Add 5 cups of water and bring to a boil. Simmer over moderately low heat until the stock is reduced to 2 cups, 40 minutes. Strain the shrimp stock through a fine sieve.
Season the shrimp lightly with salt and pepper. In a very large, deep skillet, heat 2 tablespoons of the olive oil until shimmering. Add half of the shrimp and cook over moderately high heat, turning once, until lightly browned, about 2 minutes. Transfer to a plate and repeat with the remaining shrimp.
In the same skillet, heat the remaining 1 tablespoon of oil. Add the green pepper, garlic and the 2 cups of diced onion and cook over moderately low heat, stirring, until softened, 8 minutes. Add the wine and simmer for 2 minutes. Stir in the shrimp stock, tomato sauce, Worcestershire and cayenne and bring to a boil. Simmer over moderate heat, stirring often, until the sauce has reduced by half, 15 minutes. Season with salt and pepper.
Add the shrimp to the sauce and simmer over moderately low heat until the shrimp are just cooked through, about 5 minutes. Serve over steamed rice.