Season shrimp with half the salt and the black pepper.
Heat olive oil and 1 tablespoon butter in a large skillet over medium-high.
Sear shrimp until just pink, 2 to 3 minutes. Transfer to a plate.
Lower heat to medium. Melt remaining butter in the skillet.
Sauté shallot until soft, 2 minutes. Stir in garlic for 30 seconds.
Sprinkle in flour. Cook, stirring, 1 minute to form a blond roux.
Deglaze with sherry, scraping browned bits. Simmer to reduce slightly.
Pour in cream. Simmer gently until lightly thickened, 3 to 4 minutes.
Whisk egg yolks in a bowl. Slowly add a ladle of hot sauce to temper.
Stir tempered yolks back into skillet on low heat. Do not boil.
Season with remaining salt, Worcestershire, lemon juice, paprika, cayenne, and nutmeg.
Return shrimp and any juices. Warm through until just cooked, 1 to 2 minutes.
Finish with parsley. Serve immediately over toast points, rice, or pastry shells.