How to Make It
Stir together tomatoes, bell pepper, fennel, carrot, garlic, and oil in a large saucepan. Cook over medium-high, undisturbed, until mixture starts to sizzle, about 2 minutes. Reduce heat to medium; cook, stirring occasionally, until tomatoes break down and stick to bottom of pan, 20 to 25 minutes. Add shrimp shells; increase heat to medium-high, and cook, stirring often, until shells are orange in spots, about 2 minutes.
Add 7 cups water, parsley, peppercorns, and bay leaf to mixture. (The liquid should just cover shrimp shells.) Bring to a boil over high. Reduce heat to low; simmer, uncovered, until broth has a shrimpy aroma, about 1 hour.
Skim and discard foam from surface of stock. Remove stock from heat; let cool 10 minutes. Pour through a fine mesh strainer into a heatproof bowl; discard solids. Use stock immediately, or store in an airtight container in refrigerator up to 2 days or in freezer up to 3 months.