Pour water in a dutch oven or large saucepan. Add lemon slices, garlic, bay leaves, peppercorns, parsley and kosher salt. Heat over medium high heat to a gentle boil.
Reduce heat to medium and simmer for 5 minutes to allow flavors to mingle.
Add shrimp and cook for 2 ½ to 3 minutes, or until shrimp are pink and cooked. Remove from heat and place shrimp in a colander. Rinse under cold water.
Refrigerate shrimp until cold and serve with cocktail sauce.