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Whisk mayonnaise, ketchup, Dijon mustard, hot sauce, capers and parsley in small bowl. Season to taste with black pepper. Store in refrigerator until ready to use. Can be prepared 2 days ahead.
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Combine water, salt, sugar, lemon juice, garlic and peppercorns in gallon size zip lock bag. Add shrimp to brine and chill 15-20 minutes. Drain shrimp and rinse with cold water. Place shrimp on skewers.
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Preheat grill to medium high heat. Spray grill grates with cooking spray and grill shrimp 2-3 minutes per side. Serve immediately with Remoulade Sauce or other options below.
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Additional sauce options: Sriracha Mayo -1/2 cup prepared mayonnaise blended with 2 teaspoons Sriracha. May also be served with prepared Mango Chipotle Sauce.