Rinse the shrimp heads and the shells in cold water and drain. Heat the olive oil in a large stock pot over medium heat. Add the whole garlic cloves, leeks, celery, and scallions and saute until leeks and celery begin to become translucent and the other vegetables soften, about 7-8 minutes. Add the shrimp heads and the shells, and stir for a few seconds. Carefully add water, then lemon peel, bay leaves, parsley, salt, and peppercorns. Stir and bring to a boil, then reduce heat to low and simmer, uncovered, occasionally skimming the surface and discarding any foam. Simmer for 45 minutes to an hour, adding water 1/4 cup at a time, if needed, then removing from heat when a rich, orange color develops. Strain, discarding shells, herbs, and vegetables. Cool completely, then refrigerate or freeze in 1 cup portions, if not using immediately.