Preheat the oven to 450° F.Prepare a baking sheet with edges by lining it in foil for easy cleanup later. The edges are necessary on the pan to prevent the glaze from spilling into the oven as the shrimp cook.Peel and devein the shrimp, leaving the tails on.
Combine all ingredients for the glaze in a small bowl.Wrap each shrimp with ⅓ of a slice of bacon, dip it into the glaze in the bowl, and then place it on the pan with the cut ends of the bacon underneath the shrimp so it doesn't unravel.
Bake for 6 minutes. Flip. Bake for another 4 minutes, or until bacon is browned and edges are crispy.