I have seen YouTube videos of them. Some easier than others to make. I can't tell you how many kids ask me if I have any in my utility belt when I see them at charity events. Some day I will have to experiment and see what I can come up with.
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Some that I have seen don't use penny method and they give off a huge plume. Snappers, black powder, and magnesium wrapped tightly in tissue paper and throw to ground hard.