Step 1

Peel and devein the shrimp. Put the shrimp heads and peels in a saucepan with ½ cup water. Bring to a boil and simmer for 10 minutes. Set the shrimp stock aside.

Step 2

To prepare the grits, bring 3 cups of water to a boil over high heat in a medium saucepan. Stir in the grits and salt. Bring back to a boil, reduce the heat to low, stir in the butter, and simmer for about 15 minutes, stirring occasionally. Keep the grits warm on very low heat, adding water as needed to keep them from stiffening up.

Step 3

To prepare the shrimp, toss them with the Cajun seasoning. Add the olive oil and 1 tablespoon of the butter to a large skillet over medium-high heat. Add the shrimp and sauté until opaque, about 2 minutes. Remove from skillet, set aside. Add the flour to drippings in skillet and whisk well. Add the onion, peppers, and fennel; sauté 4 minutes. Add the garlic and sauté 1 minute. Add the shrimp stock and simmer until reduced by half, about 10 minutes. Add the Worcestershire sauce, white wine, and the remaining butter. Taste for seasoning, and add salt if you like. Serve immediately over the warm grits. Garnish with fennel fronds and pickled okra.