Thaw shrimp according to package instructions, then rinse under cold water and thoroughly pat dry with paper towels. Place shrimp on a large rimmed baking sheet, drizzle with 2 tablespoon olive oil, and sprinkle on ½ teaspoon salt and ½ teaspoon black pepper. Stir to combine then arrange shrimp in a single layer.

Bake at 450˚F for 8-10 min or until shrimp turn pink and are just cooked through.* As soon as they come out of the oven, test a shrimp for doneness then transfer all shrimp to a serving platter. If they stay on the hot baking sheet, they can get overcooked.

Combine all of the Cocktail Sauce ingredients, adding horseradish and hot sauce to taste (Add more if you love cocktail sauce with a spicy kick and less if you prefer a mild sauce). Cover and refrigerate sauce and shrimp for at least an hour or overnight. Serve chilled.