Heat oil in a large pot. Add okra. Stir-fry for about 10 minutes until most of the slime is gone. Add tomatoes, onions and celery. Saute on medium low heat until vegetables are softened.
Add salt, cayenne, bay leaves, thyme and water. Bring to a boil. Reduce to a simmer and cook for 30 minutes.
Add shrimp and parsley. Simmer for another 10 minutes.