Place shrimp shells and water in a saucepan. Bring to a boil then reduce heat to low for twenty minutes. Drain twice assuring no shell bits are present in stock.
While stock is cooking, melt butter in a large pot over medium/high heat. Add onion and garlic, sauce until fragrant - about three minutes.
Adding one tablespoon flour at a time, whisk into butter mixture, cooking until a golden hue is present. Note: I add in three tablespoons initially, reserving the fourth to mix with a little water and thicken the soup towards the end if needed.
Slowly whisk in light cream and bring mixture to a boil.
Stir in 1/2 cup of stock at a time, until desired thickness is reached. Reduce to low. Note: I tend to leave my soup thicker until after I have turned to low and then add more stock if needed.
Incorporate Old Bay, lemon juice, bay leaf, and pepper; cook for a minute.
Add in shrimp, cook until not pink any longer - usually around 10-15 minutes, covering for the last few.
Serve with bread for dipping and garnish with more Old Bay and parsley (optional).