Cut the Serrano ham into thirds lengthways so that narrow longitudinal strips are formed.
Oil a baking sheet with olive oil, heat the oven to 225 degrees.
Wrap 1 leaf of basil and a strip of ham around a shrimp and place on the oiled baking sheet. Finally, brush the prawns lightly with olive oil and carefully dust with cayenne pepper.
Fry in the oven at 225 degrees for approx. 8-10 minutes.