This work proposes a bid shading strategy for first-price auctions as a measure-valued optimization problem. We consider a standard parametric form for bid shading and formulate the problem as convex optimization over the joint distribution of shading parameters. After each auction, the shading parameter distribution is adapted via a regularized Wasserstein-proximal update with a data-driven energy functional. This energy functional is conditional on the context, i.e., on publisher/user attributes such as domain, ad slot type, device, or location. The proposed algorithm encourages the bid distribution to place more weight on values with higher expected surplus, i.e., where the win probability and the value gap are both large. We show that the resulting measure-valued convex optimization problem admits a closed form solution. A numerical example illustrates the proposed method.