Wash the okra in cool water. Remove the caps and tips and cut into 1/4-inch rounds. Heat the oil in a large pot over medium-high heat. Fry the okra, stirring constantly, for 10 to 12 minutes, or until most of the slime disappears. Add the tomatoes, onions, and celery and cook, stirring often, for 18 to 20 minutes, or until the okra and other vegetables are soft and the slime has completely disappeared. Add the salt, cayenne, bay leaves, thyme, and water. Stir and bring to a boil. Reduce the heat to medium and simmer, uncovered, for 15 minutes. Add the shrimp and cook, stirring occasionally, for 30 minutes.
Remove the bay leaves and serve in deep bowls.
Yield: 6 servings