You have carpenter bees. The male is patrolling his territory for other male carpenter bees. The dancing together is really the bees fighting to hold their territory. Look for what seems to be drill holes in nearby wooden structures and you will find their nest. James.

Ok at least I know what to look for.
Thanks

Not sure how this guy is 'guarding' if he can't sting?

Here is a link that might be useful: Carpenter Bees

Well I did find the little hole today, it's in the end of a small piece of wood I used to mount a lite. I think I have seen it before. Just glad it's not in a wall of the house.

Ironically the guard is not out today, not sure what happened or why he's gone. Gov't layoffs?