Whenever you get a new lizard they are bound to be very stressed, sometimes they behave differently than they usually would because the stress taxes their body.
If you could provide us with a little more info it may help us establish wether you should be worried or not...
Where did you get the leo from? do you know anything about its previous care?
What are the temps, high and low?
What is the substrate?
Is he eating all the crickets you are offering?
How often are you holding him?
About how big is he?
How are you supplementing?
The "shivering" you are talking about, could you describe it a bit more? It could be twitching as is seen with a calcium deficiency, if his previous care was not very good then its likely he had a deficiency before you got him.
Dont handle him, give him a week or so to settle in, make sure he is eating plenty.Bring a fecal sample to the vet as soon as you can get one to assure there are no parasites. If you continue to see tremors i would get him checked
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0.1 Bearded dragon (Hannabil)
0.1 mexican Black kingsnake (Morticia)
1.1.2 Leopard Gecko's (Pogo, Louise, Orion, Jeffrey Nothing)
0.0.1 Tokay Gecko
1.0 Blue Tongue Skink
0.0.1 Reverse Okeetee Corn (Autumn)
0.1 Bullmastiff (Asha)
4.1 Cats (Poe, Tucker, Abhid, Felicity, Emmy)