I've seen birds of prey circling my neighborhood before, in the summer, but they were kestrels. This was the first time I've seen a merlin, let alone one in action.
If it's not too personal a question: where do you live?
I'm asking because last Sunday I had a similar encounter. We do have Merlins in summer here in Bavaria, but normally they migrate south during the cold season. It's highly unusual to see one at this time of the year.
Salt Lake City. You're a little further north, we're higher in elevation. I know they're a wide-ranging bird, but that's pretty interesting!