SECRET LEVEL: SCENE RECREATION
The reason I wanted to recreate this shot is to get to know Houdini. So the first thing I did was creating a smoke sim. Three days of tweaking parameters and I got this:
Houdini node tree
High poly for the cigarette was made in Zbrush, texturing — in Substance
For the snowfall I used footage I shot recently. Got lucky with the lighting here. Was able to split one footage in two: for background and foreground using color ramp so the brighter the snow on the footage the closer it to the camera in the scene
Person in the background is just a simple cloth sim done in Marvelous Designer
For the ground I used 3 different material layers to make the transparency/color variation, but as I used eevee to render this, most of the transparency/subsurface scattering details were lost sadly

The scene was assembled in Blender, post-processed in Resolve (chromatic aberration was added as well as grain to get rid of color banding)

The real mystery to me is how they achieved this kind of details on the snow — the thing really sells the shot. Was it a Houdini sim also, a high density mesh with layers and layers of displacement or something else?

Here you can see cigarette's model and textured details up close