Combine all ingredients and let rest for at least 30 minutes to blend the flavors.
Prepare a medium-hot fire in a grill. Thread the shrimp onto the skewers, leaving space between them. Brush the shrimp with olive oil.
Grill for 2 to 3 minutes. Brush on basting sauce, if needed. Turn the shrimp and grill another 2 to 3 minutes, until opaque.
Mix feta with kalamata olives, then sprinkle the mixture over the grilled shrimp.