- Combine ketchup, horseradish, vodka, Worcestershire, and lemon juice in a bowl and whisk until thoroughly incorporated. Season with salt and pepper. The cocktail sauce can be made up to 3 days ahead of time and stored in the refrigerator until ready to use.
- Cut the lemon segments in half.
- Place a dollop of cocktail sauce in the bottom of each of 5 rocks glasses. Add 3–4 pieces of lobster. Place a layer of diced avocado on top of the lobster. Add another dollop of cocktail sauce on top of the avocado. Add a second layer of lobster.
- Garnish the cocktail parfaits with lemon segments and celery leaves.