Preheat oven to 400˚F. Add the prepared shrimp to a large bowl and stir in chipotle Mayo, old bay and salt and pepper. Toss until everything is evenly coated. Add shrimp to a sheet pan and roast for about 8 minutes, or until just pink and cooked through.
While the shrimp is roasting prepare the cocktail sauce by combining all of the ingredients in a medium sized pitcher. Whisk until smooth.
Let shrimp and sauce chill in the fridge for about an hour. When ready to serve, fill one ounce shooter glasses with the cocktail sauce and top with the roasted shrimp.