Christmas Lights are a novelty balloon. They light up on the parade route, making them the second balloon to have light features (The first being Pikachu's second balloon in 2006, where his cheeks glew). They were made especially for the Macy's Holiday Parade and were the newest addition for 2015, along with the Tom Turkey Balloonicle.
The balloon then made its debut in 2017 in the main parade.
In 2017, According to Jenelle Drayton, who handled the popped Striped Candy Cane, this balloon almost ended up colliding with a tree as well for the same reasons as why the Candy Cane popped.