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
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.
GRILL THE SHRIMP
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.