1. Heat oil in a medium saucepan over medium-high heat. Add onion, leek, fennel fronds, and garlic; cook, stirring occasionally, until vegetables are softened, about 6 minutes. Add lobster shells and shrimp shells, parsley, and bay leaf; cook, stirring occasionally, 2 minutes. Stir in wine, clam juice, tomatoes, and 1 1/2 cups water. Reduce heat to medium low; simmer, stirring occasionally, 20 minutes.

2. Pour stock through a fine sieve into a medium bowl; discard solids. Add saffron and cayenne. Season with salt.