Make the shrimp and shrimp stock: Heat a large cast-iron skillet over high. Add bell pepper, tomato, onion, and garlic; cook, turning occasionally, until vegetables are charred in spots and slightly softened, about 15 minutes.
Meanwhile, peel and devein shrimp, leaving tails on; reserve shells. In a large bowl, toss together peeled shrimp and 1 teaspoon salt. Cover and chill until ready to use.
In a large saucepan, bring 2 quarts water, charred vegetable mixture, celery, and bay leaves to a boil over medium-high. Reduce heat to medium-low, and simmer, lightly mashing stock with a slotted spoon, until stock is light red, about 30 minutes. Pour through a fine wire-mesh strainer into a bowl; discard solids. Wipe saucepan clean, and return strained shrimp stock to saucepan. Add saffron, black pepper, and remaining 1 tablespoon salt. Bring to a simmer over medium-high. Reduce heat to medium, and gently simmer until saffron has bloomed and the stock is rich red, about 10 minutes. Add shrimp; cook, stirring occasionally, until just cooked through, 2 to 3 minutes.
Using a slotted spoon, transfer shrimp to a colander; rinse under cold running water to stop the cooking process. Drain well. Pour stock through a fine wire-mesh strainer into a large measuring cup; discard solids. Set shrimp aside.
Make the cocktail sauce: In a medium bowl, stir together ketchup, lime juice, Worcestershire, hot sauce, and adobo sauce until smooth. Add onion, tomato, cucumber, serrano, and shrimp; stir to coat. (The sauce should be tart, spicy, and assertive; the flavors will mellow out once you add it to the stock.)
Ladle 3/4 cup shrimp stock into 4 to 6 large coupe or shrimp cocktail glasses; reserve remaining stock for another use. Add about 1 cup shrimp mixture to each cocktail glass; top with avocado and cilantro. Serve with saltines.