He's magic!

No clue. I'd assume, he had a VERY large green screen billboard behind it, and had a video of the sky edited in.

I honestly don't know though. Could be an actual particle. He's pretty good at that stuff, so wouldn't surprise me if he'd made one.

Sorry for the necrobump, but this is just a huge billboard with an image in the background moving along the x axis added during post. You can tell because the clouds aren't interacting with each other. It's a lot simpler than you think.