Start by peeling and deveining the shrimp, then save the shells.
These will add great flavor to your broth.
In a large saucepan, melt the butter with olive oil over medium heat.
Add the shrimp shells, onion, and garlic, sauteing until the onion softens.
Stir in the flour, ensuring it blends well with the veggies and shells.
Cook for about 2 minutes to eliminate the raw flour taste.
Gradually pour in the chicken broth, mixing well to prevent lumps.
Add the paprika, cayenne pepper, and bay leaf, then let simmer.
Remove from heat and strain out the solids.
Return the liquid to the pot, adding the shrimp and heavy cream.
Let cook until the shrimp are pink and cooked through.