Rinse the shrimp shells under cold running water and place them in a stockpot with the shrimp shells, onion, carrots, celery, garlic, bay leaf, peppercorns, salt, and water. Bring the pot to a boil and then lower the temperature to a simmer. Skim the impurities that rise to the surface with a ladle, spoon or a skimmer. Simmer the stock for 45 minutes to 1 hour.
When the stock is completed, strain the stockpot and immediately cool the strained stock using an ice bath of water and ice. Use the amount of stock you need, and refrigerate and/or freeze the remainder.