Preheat the grill to medium-high heat (450–500°F).
Place the shrimp in a bowl.
Drizzle with olive oil and toss to coat evenly.
Add Old Bay seasoning, cayenne pepper (if using), and salt.
Thread the shrimp onto skewers by piercing near the head and tail.
Grill for about 2 minutes per side until pink, opaque, and juicy.
Remove from the grill and set aside.