BBQ Shrimp Cocktails

Name: BBQ Shrimp Cocktails
Ingredients: 1 pound extra-large (U16) shrimp, peeled and deveined, tail on; 1 tablespoon extra-virgin olive oil; 1 tablespoon store-bought BBQ rub seasoning; 1 cup mayonnaise; 3 tablespoons distilled white vinegar; 2 tablespoons prepared horseradish; 1 tablespoon whole-grain mustard; 1 teaspoon brown sugar; 1 teaspoon garlic powder; 3 dashes Worcestershire sauce; 2 tablespoons chopped chives, plus more for garnish; 1 tablespoon chopped fresh parsley, plus more for garnish; Kosher salt and freshly ground black pepper; 8 thin lemon slices, for serving