Melt the unsalted butter in a large saucepan over medium heat until it is completely liquefied.
Slowly add the flour to the melted butter, stirring constantly, to create a roux.
Cook for about 5 minutes, ensuring the mixture becomes a light golden color.
Gradually pour in the shrimp stock while whisking to integrate it with the roux, ensuring no lumps remain.
Add the sherry wine, Worcestershire sauce, chicken base, and cayenne pepper to the sauce.
Stir well to blend all flavors.
Continue cooking the sauce for about 30 minutes over low heat, allowing it to thicken to your desired consistency.