This is a fascinating shot and there is lot going on. Play it at least three times and watch what happens above the water surface, at the water surface and below the water surface!

The explanation over at Fuck Yeah Fluid Dynamics

In air, some of the energy of this pressure wave would be dissipated by compressing the air. Since water is incompressible, however, the blast instead moves water aside as the bubble expands. Eventually, the bubble expands to the point where its pressure is less than that of the water around it, which causes the bubble to collapse. But the collapse increases the gas pressure once more, kicking off a series of expansions and collapses. Each bubble contains less energy than the previous, thanks to the loss of pushing the water aside.