Preparation / Directions:
Place lemon pieces, peppercorns, bay leaves and 1 quart of water into a large saucepan. Bring to a boil, lower heat and simmer for 10 minutes. Add the shrimp and cook just until firm, about 3 to 4 minutes. Drain and set the shrimp aside to cool (discard the other solids). When shrimp is cool, peel, devein and refrigerate until chilled.
Combine the egg yolks, mustard and lemon juice in a clean, dry bowl or the container of the food processor, whisking or processing briefly. Add the olive oil in a thin, steady stream, whisking or processing constantly until all of the oil has been used and the mayonnaise has formed. Stir in the cayenne adjusting the amount to taste. Serve with the cold shrimp.