Shuck corn and brush with olive oil, salt and pepper.
Grill for 8 – 12 minutes.
Set one cob aside for garnishing. Cut kernels off the remaining 4 and reserve the cobs.
Peel and devein 2 pounds of shrimp. Cover, chill and reserve the shells.
In a stockpot on medium-high, heat olive oil, shrimp shells, onion and garlic for 5 minutes or until the shells turn pink.
Add corncobs, bay leaf, oregano, white wine and water. Bring to a boil.
Reduce heat and simmer for 30 minutes.
Drain the shrimp stock over a bowl and discard the solids.
In a skillet, heat butter, corn kernels and tomato paste for 2 minutes on medium high.
Whisk sherry and flour in a separate bowl and add the corn mix, stirring frequently for 1 minute.
Add shrimp stock and season with salt and pepper, simmering for 5 minutes or until soup begins to thicken, stirring often.
Add raw shrimp and cook for 3 minutes.
Pour in evaporated milk, stir and serve immediately.