Heat 3-4 inches of oil in a deep, heavy pot over high heat to a temperature of 375 degrees F. (be sure to use a deep, heavy pot so there is plenty of room for the oil to bubble up - the pot should be no more than half full.).
Combine the egg yolk, water and flour in a mixing bowl, stirring just to combine - a few lumps are okay.
Butterfly the shrimp by cutting them almost all the way though along their backs.
Dredge the shrimp one at a time lightly in additional flour, dip in the batter, and drop carefully into the hot oil.
Don't add more than 5 or 6 at a time, and be careful to keep the temperature as close to 375 degrees as possible.
Cook until golden brown on all sides, turning in necessary, and transfer to a wire rack or paper towels to drain. Serve immediately.