Mythbusters did a test once, seeing if it's possible to catch a bullet in your teeth. So a moving object at god only knows what rate, being stopped by a static, metal maw. They failed, managed to ruin the bullet a few times but never catch it exactly.
What were seeing there is basically 2 bullets colliding in mid air - it would take a while to calculate the exact time to fire both shots, which would rely on the sort of exacting measures that you just can't get, delays that can't be measured or predicted. I mean it would be difficult to get 2 bullets the same size and shape to hit each other, never mind 2 completely different parameters and shapes.
So I just don't see how it's possible

- unless it's a shotgun being fired with it, and just luck that some of the shot makes it to the bullets exact position - well I'm stumped!. The only other thing I can think off is that these are ball bearings being dropped constantly, and again luck is what we are seeing. You'd think that the pellet would need a lot of force though, otherwise the bullet would just knock it away.
And impressed, looks so cool when the little pellet takes a dent out of the lead.