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Stir together scallions, thyme, chiles, lemon zest and juice, oil, 2 teaspoons salt, and 1/4 teaspoon pepper in a small bowl.
Bring 2 quarts water to a boil in a large saucepan. Add bay leaves, sugar, and 2 tablespoons salt, stirring until sugar and salt have dissolved. Stir in shrimp, cover, and remove from heat. Let stand 3 minutes. Strain shrimp and bay leaves; immediately transfer to a nonreactive container. Pour in scallion mixture; let cool completely. Cover and shake vigorously to ensure shrimp are evenly coated. Refrigerate at least 8 hours and up to 5 days. Remove from refrigerator 30 minutes before serving.
1 bunch scallions, trimmed and thinly sliced (1 cup)
1 tablespoon fresh thyme leaves
¼ cup finely chopped fresh chile peppers, ribs and seeds removed for less heat, if desired
3 strips lemon zest (each 2 inches long), plus ½ cup fresh juice (from 3 to 4 lemons)
¾ cup extra-virgin olive oil
Kosher salt and freshly ground pepper
2 fresh or dried bay leaves
3 tablespoons sugar
1 pound large shrimp (18 to 24 count), preferably wild Gulf, peeled and deveined