Pre-heat the oven to 400 degrees.

Cut down the center of each lobster tail from top to tail.

Pull the meat away from the shell by slowly working your fingers between the two until the meat comes loose. De-vein.

Once the meat is pulled away, place it back on top of the shell and let the flaps of lobster meat fall open.

Place the lobster tails on a cooling rack and set on top of a pan.

Rub olive oil on the meat, then the paprika, salt and pepper.

Place in the oven for 15 min. Remove from oven, rub down with butter until melted.

Set oven to broil and put back in for about 2 min.

Place saffron threads in the hot water and let steep for 5min.

In a food processor or blender, combine the saffron threads and water with the egg yolks, garlic, lemon juice, salt, and pepper. Mix on high until blended.

With the food processor still running, slowly add in the olive oil. Blend until aioli is thickened.

Keep refrigerated until ready to serve.