Whisk together the honey, cayenne pepper, chili powder, garlic, black pepper, red pepper, lime juice, and a pinch of salt.
Pat shrimp dry and set into a large bowl. Pour 1/2 of the hot honey sauce over the shrimp and toss to combine.
Heat a tablespoon or two of olive oil in a large skillet over medium. Set shrimp in the pan, with no overlap. Cook 2 minutes. Flip and pour half of the reserved sauce onto the shrimp. Cook an additional 2 minutes. Finish with the remaining sauce, tossing constantly until the honey caramelizes onto the shrimp.
To make the cilantro yogurt sauce, blitz the avocado, yogurt, cilantro, lime juice, sugar, garlic, and salt in a food processor until smooth. Pour into a small bowl.
To assemble the tacos, smear yogurt sauce on the bottom of a warmed tortilla. Top with arugula or choice greens, then nestle shrimp into the leaves. Sprinkle with feta and arrange a few pickled red onion slices.