Preheat your oven to 350°F (175°C).
In a medium saucepan, bring water to a boil and stir in grits and salt. Reduce heat to low, cover, and cook for 20 minutes, stirring occasionally.
Remove grits from heat and mix in cheddar cheese, Parmesan, and butter until melted and creamy.
Heat olive oil in a skillet over medium heat. Add shrimp, cayenne pepper, and black pepper. Cook until shrimp turn pink, about 3-4 minutes. Remove shrimp and set aside.
In the same skillet, sauté green onions until tender, about 2 minutes. Stir in heavy cream and simmer for 3 minutes.
Layer the grits mixture in a greased casserole dish. Top with shrimp and pour the cream mixture evenly over the top.
Bake for 20 minutes or until bubbly. Garnish with additional green onions if desired.