Shock Grenade is a ranged weapon used to defeat Jubilators, Peepers and Headmistresses. It will cause electrical damage to whomever gets inflicted with the grenade.
Shock Grenades are first found in the Military Camp inside of the Armory bunker, alongside many other Bangers, TNT and Black Powder.
Bobbies sometimes throw their versions of a shock grenade towards the player, the only difference between the two is that the Bobby Shock Grenade doesn't inflict that much damage.
Bobby grenade description.
Shock grenade description.