Step 1: With a small sharp knife or kitchen shears, make a slit down the back of the shrimp shell, leaving the tail intact. Devein using the tine of a fork. Using your thumbs, gently loosen the meat from the shell, leaving it attached at the tail. Reform the shrimp. (This makes the shrimp easier to eat.)
Step 2: Set up your grill for direct grilling and preheat to medium-high. Brush and oil the grill grate.
Step 3: Arrange the shrimp on the grill grate. Spray the shrimp with olive oil as they cook. The cooking time is brief, 1 to 2 minutes per side, or until the shrimp are sizzling, lightly browned, and cooked through.
Step 4: Transfer the grilled shrimp to a platter or plates and generously sprinkle with coarse sea salt. Serve at once and get ready for some of the best shrimp of your life.