Called Office 365 Advanced Security Management, this new set of security tools are available to Office 365 commercial customers via a multi-phase release. The set of tools include: threat detection for identifying high-risk/abnormal usage; enhanced control for implementing more granular controls and security policies; and discovery and insights, which help with the discovery of "shadow IT" and other usage visibility. These tools are tuned to work with Office 365 specifically.
The underlying Cloud App Security Service provides these same tools that work with other software-as-a-service applications, not just Office 365. Microsoft sells its Cloud App Security Service available for $5 per user per month.
Those with Office 365 E5, Microsoft's top-of-the-line Office 365 plan, get Advanced Security Management for free; those on other Office 365 commercial plans can purchase the tool bundle for $3 per user per month. (I don't think that's $3 per user per month on top of the $5 per user per month for Cloud App Security, but I've asked Microsoft to be totally sure. Update: You don't need to pay an additional $5 per user per month for Cloud App Security if you just want Office 365 Advanced Security Management, a spokesperson said.)
The threat detection and activity policy creation features are rolling out to Office 365 E5 customers worldwide starting today. The ability to view an application's permissions into Office 365 and the application discovery dashboard will be available by the end of the third quarter of 2016, Microsoft's blog post says.