In the video Ward Carroll referred to the Aim 9x missile as an arrow not a shotgun, I wonder if that means the missile didn’t explode on impact, basically it was a giant needle that punctured the balloon causing it to deflate, instead of exploding.
Annular blast fragmentation warhead.
So ... it’s an arrow with shotgun tip.
The AIM-9X is equipped with a laser proximity fuse. It explodes when it senses it's near its target, not when it hits.
The missile contains a blast fragmentation warhead designed to blow shrapnel in a ring around the missile, striking the target.
Looking at the closeup video of the kill, it appears that the missile hit the payload, not the balloon envelope.