Prepare the shrimp. Preheat an oven to 425°F (218°C). Place the shrimp on a sheet pan, then drizzle with 2 Tbsp olive oil, 1 tsp Old Bay, and ¼ tsp kosher salt.
Roast the shrimp. Transfer to the oven and cook for 6-8 minutes, or until the shrimp turn pink and are fully cooked. Cook time is very much dependent on the size of the shrimp you're using. While the shrimp cook, make the sauce.
Make cocktail sauce. Combine ½ cup Ketchup, ¼ cup chili sauce, 2 Tbsp horseradish, 1 Tbsp fresh lemon juice, 3-4 dashes of hot sauce, 1 tsp gin, and ½ tsp Worcestershire sauce in a bowl. Whisk to combine, then refrigerate until needed.
Serve warm or cold! The shrimp can be enjoyed immediately or chilled for later. Serve with a sprinkle of chopped parsley, lemon wedges, and the cocktail sauce. Enjoy!