PREPARE THE SHRIMP STOCK:
- Peel and devein shrimp. Place shrimp and shells in 2 separate bowls.
- Roughly chop the raw shrimp, cover and refrigerate until ready to use.
- Run shrimp shells under cold water and drain.
- In a large Dutch oven, over medium heat, add the olive oil. Add the shrimp shells. Saúte until the shells are browned, approximately 5-6 minutes.
- Add the yellow onion and celery. Cook several minutes until vegetables begin to soften. Stir in garlic, thyme, bay leaves, and peppercorns, cooking for a few minutes until fragrant. Add the water, stirring well to blend ingredients.
- Raise heat, allowing stock to come to a boil, then reduce heat and slowly simmer for 25-30 minutes.
- Remove stock from the stovetop.
- Pour stock through a fine-mesh strainer into a separate bowl. Discard solids.
PREPARE THE SHRIMP BISQUE:
- In a large heavy bottomed saucepan or Dutch oven, melt the unsalted butter over medium heat. Add the onion and celery, stirring until softened. Add the garlic, white pepper, thyme, paprika, old bay, and cayenne. Sauté mixture until just beginning to brown, 7-8 minutes.
- Reduce heat slightly. Sprinkle the flour over the vegetables and stir constantly, cooking for a minute until mixture is completely smooth.
- Pour in the wine, stir to deglaze the pan, and simmer for a few minutes until mixture thickens slightly.
- Add the Worcestershire sauce, then stir in the tomato paste.
- Carefully add the prepared shrimp stock and simmer the bisque for 20 minutes.
- Add one pound of the reserved chopped shrimp. Cook for an additional 3-4 minutes.
- Stir in heavy cream and nutmeg, blending well.
- Remove from heat and purée soup with a heat resistant hand immersion blender.
- Place pan back on stove. Stir in remaining one pound of diced shrimp and cook for an additional 4-5 minutes.
- Remove from heat. Stir in salt to taste.
- Stir in lemon juice.
- Stir in sherry just before serving.
