Rock shrimp are small, sweet shrimp with a texture that’s nearly identical to that of a spiny lobster. They are typically sold peeled and deveined as they are literally “hard as a rock”. Rock shrimp cook more quickly than other shrimp. To boil, drop in a pot of boiling salted water, stir, and after 35 seconds, pour into a colander and rinse with cold water. To broil rock shrimp, place four inches from the source of heat for two minutes, or until the meat turns opaque white.