I believe this is called a "Dust Devil" and according to http://weather.ncbuy.com/, here is the definition of what a "dust devil" is: A small atmospheric vortex not associated with a thunderstorm, which is made visible by a rotating cloud of dust or debris (dust whirl). Dust devils form in response to surface heating during fair, hot weather; they are most frequent in arid or semi-arid regions.
Yepp, that's a dust devil, my friends. But still cool, I mean, doesn't matter if it's not a real mile-wide twister, you can still have some nasty debris onto you, when you are getting so close.
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