In a food processor, finely chop the lobster legs and shells with the oil until it turns orange.
Transfer to a saucepan. Add the peppercorns and bay leaf.
Gently bring to a boil and simmer very gently until the lobster juices have completely evaporated.
Remove the saucepan from the heat and let steep for about 20 minutes.
Line a sieve with paper towels. Strain the oil through the sieve. Let cool.
Store in an airtight container in the refrigerator for about 1 month or freeze.
