Pick over peas, rinse, and place in a large Dutch oven or soup pot with water; bring to a boil for 2 minutes. Remove from heat, cover, and let stand for 1 hour.
Stir in ham hocks, onion, celery, salt, cayenne pepper, and bay leaf; bring to a boil, cover the pot, and simmer until ham hocks are tender, about 1 ½ hours.
Stir in okra and simmer until tender, 10 to 15 minutes. Remove and discard bay leaf before serving.