Place dry black-eyed peas in a 6-quart kettle or Dutch oven and add 12 cups water.
Do not drain.
Stir in ham hocks, onion, celery, bay leaf, salt, and cayenne.
Bring to boil.
Reduce heat; cover and simmer till ham hocks are tender and peas are done, for about 1 1/2 hours.
Stir in fresh or frozen okra; cook till okra is very tender, 10 to 15 minutes.
Remove bay leaf.
Season to taste with salt and pepper.