Preheat oven to 400ºF.
In a large bowl, place shrimp, lemons, cumin, parsley and rub. Toss well to coat.
Place shrimp on a sheet pan lined with foil or parchment paper. Roast 10 to 15 minutes or until shrimp start to turn pink and lemons are soft. Season to taste with salt and pepper as needed. Serve warm, or refrigerate and serve cold with cocktail sauce.