Toss onion, vinegar, oregano and 1 teaspoon salt in a shallow glass bowl.
Simmer oil, bay leaf, garlic and peppercorns in a small sauce pan for 10 minutes over low-medium heat. Remove and set aside.
Add shrimp to large pot of well salted boiling water, remove pan from heat immediately and let shrimp sit in hot water until cooked through, about 3-5 minutes. NOT LONG!
Remove shrimp from water, drain and add to onion mixture in glass bowl.
Top with oil mixture. Stir to combine.
When completely cooled, cover and place in refrigerator for at least 12 hours up to 2 days.
Stirring occasionally.
Oil will solidify while in the fridge, so let sit out on the counter for about 30 minutes. Give it a good stir before serving!