Did you hear about the recent UFO sighting?

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I heard from my father-in-law who is a big bill o'reilly fan that there was a story on his show about 2 ufos caught on tape with our fighter planes chasing them. the air force said they were running training flights but i heard the 2 crazy lights went straight up instead of horizontal. anyone hear of this or has anyone seen the video? i'd like to see it.