Yes, there are. The Semiconducter stuff is 6 9's 99.9999, then there's UHP .9995 which is what I use, then .999 mostly welding I think? Then goes down from there. Most 'balloon' grade has some oxygen in it since people like to inhale it and talk funny, adding a little o2 keeps people from dying.
what machine makes 99.9999% pure helium? I would not enjoy being the guy who has to check that thing for leaks
I have to interject here because I think this is a slightly dangerous claim.
Balloon helium is just helium, broadly, at 98%+ concentration. It has a tiny amount of atmospheric gas, mostly nitrogen, in it as there is no need to go too far with purifying it, but there is zero intention of making it any safer to inhale. It is basically accidental contaminants.
If you inhale 98%+ helium, the diffusion gradient reverses and oxygen floods out of your blood. Did this once as a kid and actually blacked out. This is functionally just as true at 98% helium with some nitrogen and a tiny amount of oxygen as it is with 99.9999% helium. The difference for inhalation is a wash.
Inhaling helium is not advised. The protection we have, such as in my case, is that invariably our rapid physiological response stops us from inhaling helium and oxygen can return.