Combine half of the olive oil and all remaining ingredients, except for the shrimp, in a medium bowl.
Place shrimp in a large bowl. Pour oil mixture over the shrimp and using gloved hands, toss to coat the shrimp well.
Heat remaining olive oil in a large skillet over medium-high heat until shimmering.
Place shrimp, one at a time, into the hot oil. Cook for 2-3 minutes per side then remove to a wire rack. Let rest a few minutes then serve.
Notes
We find our grilling shrimp at the butcher counter at our local grocery store. You will want them to be peeled, deveined, and have the shells removed.
You can also buy frozen bagged shrimp, just be sure they are not pre-cooked. Allow frozen shrimp to thaw completely and pat them dry before beginning. To help them thaw quicker you can place them in a bowl of cold water, changing out the water every so often until they are thawed. Do not use warm/hot water to thaw.
The cayenne pepper is what brings the heat. 2 teaspoons will lend plenty of spice to this recipe, but you can certainly add more or less based on your preferences.
Store any leftover spicy shrimp in an air-tight container kept in the refrigerator for up to 2 days.