Shakugan no Shana: Ballroom

Vine, a discontent Jaeger of Bal Masqué, takes the newly crossed-over Aizen Siblings to Seireiden in order for them to learn how Crimson Denizens live in the human world. While Vine finds his path to glory thanks to Stolas, Sorath and Tiriel have a run-in with the one meant to instruct them, the Priestess of the Trinity, Hecate. (Source: Shakugan no Shana Wikia)

Ballroom is a side story exclusively published in the Anime Shakugan no Shana no Subete guidebook on October 27, 2006. Chronologically, it takes place several years before volume V, which in turn takes place several years before the start of the series.