Mix all cocktail sauce ingredients in a bowl and refrigerate until ready to serve.
Combine 8 cups (1.9 liters) water, lemon juice, bay leaves, dried thyme, salt, and pepper in a large pot. Bring it to a boil. Reduce heat and allow it to simmer for 10 minutes.
Add shrimps to the pot. Cook until shrimps are bright pink and opaque, about 2 minutes. Remove with a slotted spoon into a bowl filled with ice. When cool enough to handle, peel shrimps leaving tail on. Refrigerate if not serving right away.
To serve, place cocktail sauce in a bowl or a large cocktail glass. Loop shrimps over the edge of the bowl or cocktail glass.