Preheat the oven to 400 degrees F. Place fresh large or jumbo shrimp on a sheet pan with the olive oil, salt, pepper, and sprinkle with freshly squeezed lemon. Spread them in one layer. Roast for 8 to10 minutes, just until pink and firm and cooked through. Set aside to cool.
For the sauce, combine the chili sauce, ketchup, horseradish, lemon juice, Worcestershire sauce, and Tabasco. Serve as a dip with the shrimp. Garnish with fresh parsley and lemon wedges.