Heat 2 tablespoons oil in a saucepan over high heat, and add all of the shrimp shells and heads, along with the bay leaves. Sauté until the shrimp shells are seared to a reddish orange color, and the heads are soft. Add the chicken stock and water, and let simmer for about 5 minutes. Use a wooden spoon or spatula to press down on the heads and shells and extract their flavor. Simmer the stock for another 5-10 minutes. Don’t be squeamish at this step! It’ll all be worth it in the end.
Remove the stock from the heat and pour through a strainer into a bowl. You should have about 2 cups of what is now shrimp stock. Set aside.
Melt the butter in a large saucepan over medium heat, and gradually whisk in the flour until there are no lumps. Continue to heat this roux over medium low heat until it turns a medium brown color (about 5-7 minutes). Whisk constantly to avoid burning.
Add the thyme, oregano, paprika, cayenne, salt, and pepper to the roux. Mix for 20 seconds to bring out the flavors of the spices. Next, add the onion, celery, bell peppers, and garlic to the pan and stir for another minute.
Stir in the shrimp stock, and let the whole mixture simmer on low heat for 25 minutes, stirring occasionally. Bring the heat back up to medium, and add the peeled shrimp and scallions to the sauce. Stir everything together until the shrimp is cooked, about 3 minutes.
Mix the rice with the remaining tablespoon of oil, along with the parsley, reserving some parsley for garnish if desired. Serve the rice with the étouffée, and garnish with the reserved parsley.