Roasted Shrimp with Thousand Island Dressing

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1/2 pound large shrimp, peeled and deveined

1/2 teaspoon kosher salt

1/2 teaspoon freshly ground black pepper

1/2 tablespoon olive oil

1/2 tablespoon freshly squeezed lemon juice

For the dressing:

3/4 cup mayonnaise

1/4 cup ketchup

1 teaspoon minced capers

1 teaspoon minced gherkins

1 tablespoon sweet pickles

1 teaspoon lemon juice

Pinch kosher salt

Pinch freshly ground black pepper