Preheat oven to 400 degrees
Rinse and dry shrimp and toss in bowl with olive oil, lemon juice, salt and pepper
Place shrimp in a single layer on a baking sheet lined with foil and roast in the oven approx. 10 minutes, or until cooked through (for smaller shrimp, check at 8 minutes)
While shrimp is roasting, combine all cocktail sauce ingredients in blender or food processor and mix until incorporated
Remove shrimp from oven and let cool. Once chilled serve with cocktail sauce!