This movie is my proximity fuse asset using thinking particles and FumeFX (Still work in progress ;-)). This effect is well known as "flak". Normally this effect looks like the spiky spherical shape but actually it looks like a mushroom shape from certain angles because smoke takes velocity from a bullet. As far as I know, there are no movies I can see the proper proximity fuse fx. (Tell if you know;-))
Basically, I improved this aseet from old version. The old version is here. vimeo.com/50463849
The references are here.