BBQ Shrimp Cocktails

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Shrimp:

1 pound extra-large (U16) shrimp, peeled and deveined, tail on

1 tablespoon extra-virgin olive oil 

1 tablespoon store-bought BBQ rub seasoning 

White BBQ Sauce:

1 cup mayonnaise

3 tablespoons distilled white vinegar 

2 tablespoons prepared horseradish 

1 tablespoon whole-grain mustard 

1 teaspoon brown sugar 

1 teaspoon garlic powder 

3 dashes Worcestershire sauce 

2 tablespoons chopped chives, plus more for garnish 

1 tablespoon chopped fresh parsley, plus more for garnish 

Kosher salt and freshly ground black pepper 

8 thin lemon slices, for serving