Roasted Shrimp Cocktail Louis

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2 pounds large (16 to 20-count) shrimp, peeled, deveined, with the tails

Good olive oil 

Kosher salt and freshly ground black pepper 

1 1/4 cups good mayonnaise, such as Hellmann's 

1/2 cup Heinz chili sauce 

1/2 teaspoon grated lemon zest 

2 tablespoons freshly squeezed lemon juice 

1 1/2 tablespoons bottled grated white horseradish, drained

2 teaspoons Sriracha 

1 teaspoon Worcestershire sauce 

1/4 cup minced scallions (2 scallions) 

2 tablespoons capers, drained