There are at least two schools of thought when it comes to lobster thermidor. One insists on a béchamel base; the other employs an egg-yolk sauce, a loose savory custard of sorts. I think béchamel is wonderful in dishes like lasagna. In lobster thermidor, though, I like a lighter, more flavorful sauce that complements rather than overwhelms the shellfish. Note that you could use brandy or cognac instead of sherry, if you like.
Set the lobsters back-side up on a cutting board. Remove the claws, then cut each lobster in half beginning at the top of the head and cutting all the way to the tail. Remove the tail meat gently and clear and discard the innards from the head, taking care to keep the head and legs intact. Crack each claw and remove the meat. Cut the reserved lobster meat into 1/2-inch pieces.
Heat the cream in a small saucepan over low heat until warm; keep warm.
Position an oven rack 6 inches from the broiler and preheat the broiler.
Heat the butter in a medium saucepan over medium-low heat until the butter melts and any foam disappears. Add the lobster pieces, mustard powder, paprika, 1/2 teaspoon salt and 1/8 teaspoon pepper and reduce the heat to low. Cook, stirring, for 1 minute. Add 1 tablespoon of the sherry and 1/4 cup of the warm cream and simmer until the cream is reduced by about half, about 5 minutes.
Whisk together the egg yolks and remaining tablespoon of sherry in a small bowl. Slowly whisk in the remaining 1/2 cup warm cream to the bowl with the yolk mixture, then transfer the mixture to the same saucepan that held the cream. Cook over very low heat, whisking constantly, until the mixture thickens slightly like loose pudding and coats the back of a spoon, 2 1/2 to 3 1/2 minutes. Stir in the tarragon, then add this mixture to the lobster mixture. Stir to combine.
Arrange the lobster shells with their cut sides up on a baking sheet. Spoon the lobster mixture into the shells. Top with the Gruyere. Broil the lobsters until the filling is golden brown, about 5 minutes. Serve with any extra sauce on the side.
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