For the Shrimp: Preheat the oven to 375°F. Toss the shrimp with olive oil, salt, and pepper and line them on a sheet pan.
Bake 8 minutes, until just cooked through and slightly pink.
Let cool and serve with lemon wedges and Green Goddess Dip.
For the Green Goddess Dip: Combine the mustard, red wine vinegar, egg yolk, garlic, salt, pepper, and chiles in a blender.
Turn on the motor and set to medium-high speed. Slowly add the oil by pouring it in a thin stream. Once all of the oil has been incorporated, the consistency should resemble thick mayonnaise.
Add all of the herbs and blend until smooth. Adjust seasoning to taste.