Peel the shrimp and reserve the shells and heads. Refrigerate the shrimp and put the shells and heads in a large saucepan. Add the water, onions, bay leaves, and 1 tablespoon of the salt. Bring to a boil, then reduce the heat to medium and simmer, uncovered for 30 minutes. Remove from the heat and strain through a fine-mesh strainer. Discard the peelings and set the shrimp stock aside. Combine the oil and flour in a large cast iron pot or enameled cast iron Dutch oven over medium heat. Stirring slowly and constantly, make a roux the color of peanut butter, about 15 to 20 minutes. Add the chopped onion, bell pepper, and celery and cook, stirring, until soft, 6 to 8 minutes. Add the shrimp stock and whisk to blend the roux. Bring to a boil, then reduce the heat to medium-low and simmer, uncovered for 1 1/2 hours. Add the shrimp, the remaining 1/2 teaspoon salt and the cayenne and cook for 20 minutes. Remove from the heat and stir in the parsley Ladle into individual soup bowls, garnish with the chopped egg, and serve hot.