In a medium pot, combine the water, vermouth, salt, peppercorns, bay leaves, and lemon slices. Bring to a simmer over medium heat.
Once simmering, add the shrimp and cook until they turn pink and opaque, about 2-3 minutes. You want the water at a low simmer, not a boil, to keep the shrimp from getting rubbery.
Immediately transfer the shrimp to an ice bath to stop the cooking process.
Let them chill for a few minutes, then drain and pat them dry.