There are many correct answers, but they don’t quite hit the nail on the head.
Although hot air has a different density, that’s not what causes this effect. There are many gases (and some liquids) that have a different density to air but the same refractive index.
Hot air, on the other hand, has a different refractive index to cool air, which means that if we look through it, the light bends in a different way.
Have you seen that experiment where the arrow changes direction when the glass of water is in front of it? The same thing is happening, although to a lesser extent, when we see warm air rising from a hot surface. We need a lot more than just a glass, and the hot and cold air needs to be close together for it to be noticeable.
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