Peel and devein shrimp, reserving shells. Coarsely chop shrimp. Cover shrimp and chill.
Remove kernels from ears of corn to measure 2 cups, and set aside. Reserve the corn cobs.
Heat a stockpot coated with cooking spray over medium-high heat. Add the shrimp shells and onion to pan; sauté 5 minutes or until shells turn pink. Add corn cobs, water, bay leaf, and thyme; bring to a boil. Reduce heat, and simmer 30 minutes. Drain the shrimp stock into a sieve over a bowl; discard solids.
Melt butter in a large nonstick skillet over medium heat. Add corn kernels; cook 2 minutes, stirring frequently. Add tomato paste; cook 2 minutes, stirring frequently. Combine sherry and flour, stirring with a whisk to form a slurry. Add slurry to pan; cook 1 minute, stirring constantly. Add shrimp stock, salt, and pepper; bring to a simmer. Cook 4 minutes or until bisque starts to thicken, stirring frequently. Add shrimp; cook 3 minutes or until shrimp are done. Stir in half-and-half; serve immediately.
I love this recipe! If I cook too much fresh corn from the farmers' market, I sometimes cut the kernels off the next day to make this delicious soup, which works just as well as cutting them off before they are cooked. After the stock is done, the soup itself is very quick and easy!