This dolphin just created a bubble ring (also called toroidal bubble) and started playing with it (I like how he eats it at the end). Surprisingly, many cetaceans such as beluga whales, dolphins and humpback whales, blow bubble rings, but only dolphins engage in such complex play behavior with it. They either puff a rapid burst of water, or a create a toroidal vortex with their flukes and inject a bubble into the helical vortex currents thus formed – as is the case here. Dolphins seem to enjoy this so much, it makes me think of a quote from The Hitchhiker’s Guide to the Galaxy:
“For instance, on the planet Earth, man had always assumed that he was more intelligent than dolphins because he had achieved so much—the wheel, New York, wars and so on—whilst all the dolphins had ever done was muck about in the water having a good time. But conversely, the dolphins had always believed that they were far more intelligent than man—for precisely the same reasons.”