Melt the butter low medium-high heat in a medium saucepan. When the butter has melted, add the olive oil, garlic, rosemary, red pepper, 1 teaspoon of kosher salt and 1/2 teaspoon of black pepper; cook for 1 minute. Remove from heat and zest one of the lemons directly into the mixture.
Arrange the shrimp into a ovenproof baking dish (10×13), making sure only the tails overlap. Pour the butter mixture over the shrimp evenly. Sprinkle with the sea salt and 1/2 teaspoon of black pepper. Cut the zested lemon into slices and arrange them under the shrimp.
Roast for 8 - 10 minutes until the shrimp are finished. They should not be opaque and firm. Cut the remaining lemon in half and squeeze over the shrimp.
The recipe above is for eating immediately. If you want to make them ahead, follow the recipe until the roasting, cover the dish and refrigerate until ready, roast right before serving.