Status when order has been shipped

When we receive order its status is set to “Processing”. But when we ship order I don’t see any status as well as email notification which says to customer that order has been shipped.
I believe we need to change status to “Completed” but this isn’t the same as Shipped and doesn’t convey the same meaning to customer. Is there a way to add “Shipped” status as well as send email which will actually say that your order has been shipped?