No, this is not a flying saucer!
This is a lovely lenticular cloud that formed over Burke mountain and was visible from the Vail building late Monday afternoon. It is called a lenticular cloud because it is in the shape of a lens. It is an orographic cloud because it is induced by a mountain (in this case, Burke Mountain).
Click here to see the complete time lapse animation for clouds on Monday. These clouds did not form until late in the day. Notice how these orographic clouds are stationary compared to other clouds which zip along in the jetstream.
Lenticular clouds like these are often wave clouds that form as the flow above mountains becomes wavy (see imiage), much the way fast-flowing rivers do as they cross large rocks in the river bed. Wherever the air flow is upward, clouds begin to condense. You can see several clouds form downwind of Burke in the animation above.