This is a rush transcript from "On the Record ," July 31, 2008. This copy may not be in its final form and may be updated.

JAMIE COLBY, FOX NEWS HOST: Tonight, the story behind the pictures. I'm Jamie Colby. I'm in for Greta Van Susteren tonight. And here she is, Casey Anthony, partying in a club during the time that she told just about everybody that she was looking for her missing daughter, Caylee. And moments ago, "On the Record" producer Steph Watts had a private meeting with a DJ at the club. He has shocking new information about Casey Anthony's boyfriend, who he says is his best friend, and Casey's relationship with her missing daughter. Tonight, Casey sits in jail, a person of interest in the disappearance.

And Steph Watts is joining me now live. Steph, great work here. Tell me...

STEPH WATTS, FOX PRODUCER: Thank you, Jamie.

COLBY: ... How did this DJ know Tony, and how well did he know Casey?

WATTS: The DJ and Tony were best friends, business partners, and they also lived together for a short period of time. I'm going to refer to him as DJ because I promised him I would protect his identity.

Watch the interview

And I also want to start by saying the reason he's not on camera with us tonight is because he really doesn't want to inject himself into this story. He really wants the focus to be on finding Caylee and getting this case solved. So I respected him for that. We all respect him for that. You and I know from so many cases, people try to inject themselves in a case, so we're respecting his wishes, and I'm going to be his voice for him tonight.

That said, he lived with Tony from the beginning of May right until the first of July. He was waiting for his apartment to start -- he was waiting for a new apartment.

COLBY: Now, it is admirable that he wants to correct some facts and he doesn't want to be part of the story, but we're glad that he took the time to talk to you because he isn't talking to other people. Tell me what he told you about Casey, what kind of mother she was. Did he ever meet Caylee?

WATTS: Yes, he said Casey was a terrific mother. He said Casey was very caring with Caylee. He said that he -- she spent a lot of time at the apartment with Caylee. He said he actually taught Caylee words and he played games with Caylee. He spent a lot of time with Caylee. He said Casey was a good friend, she was a wonderful girlfriend to Tony. She cooked for him. She cleaned for him. She did his laundry. Tony (SIC) raved about how much of a terrific girl Casey was, and that's why they're so shocked by this -- these recent developments.

COLBY: But nevertheless, she lived with Tony in this apartment until she was arrested, but Caylee wasn't there at the time. In fact, from what I understand, June 13 was the last date that the DJ saw Caylee. Did they ever ask, he or Tony, where Caylee was?

WATTS: Yes, on numerous occasions. June 13 -- and they remember the day specifically because it was a Friday, and the Friday was the night that they did their club promotions and the pictures that we've seen. That Friday, Casey -- sorry, Caylee -- Casey had come to the home with Caylee. They played. It was in the afternoon. Casey had left and returned later that evening without Caylee. She had changed her clothes, got ready for the club to go and meet Tony, who was at the club. DJ decided that evening decided to stay home and not to go to the club, so he remembers specifically that it was that night.

And after that evening, Jamie, that was the last time they'd seen Caylee. They kept asking Casey, Where's Caylee? And she would say, She's with my mother, She's with her grandmother, She's with the nanny, She's away on a trip. And they didn't think anything of it. They obviously didn't question her on it because they trusted her word at that point.

COLBY: All right, but let's look at these pictures, "On the Record" obtaining exclusively these pictures of Casey clubbing it. And I understand Tony is in the picture. She had this close relationship with Tony, her boyfriend. And the DJ says that they were all very close. She was at the club without Caylee. And she's telling everybody that she's looking for Caylee at that period of time. Does he make any sense of all of this?

WATTS: Well, there's a couple interesting things that he started to notice. He said Casey never had any friends with her. She was always there with Tony and Tony's friends. They didn't meet at the club. They met on May 24, and she started going to the club after she met Tony. So all these people that you see in the pictures are friends of Tony's and DJ's. None of these people are direct acquaintances of Casey, other than the recent relationship that she had developed with them through Tony and the other people she met at the club.

COLBY: Did they ever meet Caylee's father, or did Casey ever explain who Caylee's father is? It's not Tony.

WATTS: No, it's not. And that's -- I wanted to make that clear. It's not Tony. The story that DJ related to me about what she had said about the father was she had said the father had had a horrible car accident on his way to Caylee's birthday party on her birthday.

COLBY: All right. If that story holds, that's new information that we have not heard before, even from Caylee's grandmother, Cindy, who I understand just moments ago you had a conversation with exclusively. What did she say, Steph?

WATTS: Well, I had asked Cindy just a few minutes ago about her conversations yesterday with the FBI. The FBI is on this case. They haven't spoken to Casey, but they're speaking with the family. And as you know, Jamie, from these case, what they're trying to do is piece together the timeline. I asked her what kind of questions did they ask her, and she said they sort of more made statements to her and asked her a few general questions. They were -- some of them were new. They were trying to get familiar with the case.

COLBY: All right, let's take a listen to some of what you got from Cindy. Here's a clip.

OK, well, we're -- we have that clip. I actually had a chance to listen to it as Steph was doing it just moments before we went on the air. And Cindy basically explains, Steph, that she was satisfied with the meeting with the FBI. Although they didn't ask really specific questions, they at least let her know that they're on the case. They wanted to know if she was satisfied with the investigation of local authorities. Do you get the sense that the authorities are working together?

WATTS: I do get the sense that the authorities are working together. And one thing that we've learned tonight is that contrary to some of the conversations in the media, they are actively searching for Caylee this evening, and they're searching in exclusive locations that they don't want the media and they don't want, I think, even the family to know where they're searching. And they're doing that searching based off forensic evidence that they found in the car. I was told that by one the deputy sheriffs today.

COLBY: And that is so interesting. We're going to take a closer look at what they found in Casey's car and talk about that search in a minute. Let's take a look now at what Cindy had to tell you just moments ago.

WATTS: Sure.

(BEGIN VIDEOTAPE)

WATTS: Did you have a chance to speak with Casey today?

CINDY ANTHONY, GRANDMOTHER OF MISSING CHILD: No, I haven't had a chance.

WATTS: Are you going to plan on speaking with her tomorrow?

CINDY ANTHONY: The only way I can speak with her is if she calls. I heard that she tried calling the house today when we weren't home. So you know, if she reaches out, again tomorrow, we'll probably be gone most of the day with a benefit for Caylee. So if she reaches out in the morning, she might catch us. But if she reaches out in the evening, we won't be home.

WATTS: Doesn't help with all of us calling, and you don't know she's one of us or...

CINDY ANTHONY: No, that's true because if she calls on the home phone, I'm going to let the answering machine pick up because there's directions for people what to do. If people don't -- can't get through on certain things, they know to call the house. If they want certain information, they just have to go to Caylee's Web site at Helpfindcaylee.com.

WATTS: When you spoke with the FBI yesterday, were you happy with the questions that they were asking you, or did you feel that they were going in a direction you weren't happy with?

CINDY ANTHONY: They weren't really asking us questions, they basically wanted information, anything that we could share with them, any input that we wanted to, what we thought the direction of the case was, any frustrations we had. You know, there was a few questions, but mainly just to go over, you know, things that they had. A lot of them were just briefed yesterday morning from Orange County, so -- you know, so some of them were new coming in on the case. But we feel very confident that things are being followed up with.

WATTS: Are you happy that they're on the case now, the FBI's here and involved?

CINDY ANTHONY: Well, yes. I mean, Orange County has stated a week ago last Tuesday, after the bond hearing, that they had called in the FBI. We were under the impression that was going to happen on the 16th, and obviously, that didn't. So you know, for whatever reason the delay was, now they're involved. I mean, hopefully, we haven't lost too many days, and you know, we'll just get closer and closer.

BADEN: From speaking with Casey's attorney today, I understand that she -- they have to release her after 31 days, regardless.

CINDY ANTHONY: Yes.

WATTS: So is that -- where are we at, we're at day 14 now? So she could be out in a couple of weeks, correct?

CINDY ANTHONY: Yes. Probably. I mean, I don't know all the particulars. Again, I leave all that stuff up to her attorney. I just kind of focus on dealing with you guys and making sure that we talk about Caylee every day so that, you know, she stays the main focus because most missing children doesn't -- you know, they don't get attention like this, and you know, I have to take advantage of that, just to, you know, continue to have her picture up there and talk about her.

You know, we get phone calls every day. I get more and more encouraging phone calls from people out there that believe that Casey's telling the truth, that Caylee is alive and that we're going to find her, so -- and they keep looking, and that's all I need because if they keep looking, we're going to find her.

WATTS: Are you going to plan on seeing Casey tomorrow?

CINDY ANTHONY: Actually...

WATTS: (INAUDIBLE)

CINDY ANTHONY: Actually, all her visitation periods were used up this week.

WATTS: OK.

CINDY ANTHONY: And she's only allowed three a week.

WATTS: Oh, OK.

CINDY ANTHONY: And she's made a request to all her friends to leave the spots open for her brother and my husband and myself. So they're honoring that wishes, the ones that have already made appointments.

(END VIDEOTAPE)

COLBY: All right. They may not have seen their daughter today, but we have a phone call she made from jail. We're going to play that for you later.

Steph, before I let you go, the DJ, is he getting the sense -- they went to authorities, he and Tony. They've told authorities what they know. Do you get the sense from talking to him that he's more concerned than he'd been in the past that something may have happened to Caylee and that Casey might be responsible?

WATTS: Absolutely, Jamie. You're right. When Casey was out of jail, she sent out a mass e-mail saying that Caylee was missing. As soon as Tony and DJ got this e-mail, they both immediately called investigators and were interviewed separately by different groups of investigators. He was very emotional tonight, almost in tears. He broke down as he told me the story about how his mind is starting to change and something's not right with the story. And I think he's starting to accept in his mind what he believes is the inevitable, which -- you know, Caylee may be not be with us anymore.

COLBY: Wow, Steph, that is such an explosive conversation that you had. Thanks also for bringing us the grandmother exclusively. We will talk to you again soon.

And here's another really startling fact that came out today. There were stolen gas cans from Caylee Anthony's grandparents' shed. Could it be connected to the case?

Let's go to Rozzie Franco, reporter for WFLA radio and the Florida News Network. Rozzie, I want to ask you about these gas cans, authorities saying that they're not connected to the case, but it certainly has to raise suspicions. Particularly from what I remember, Casey's car was found abandoned because it had run out of gas. So where's the gas? Where are the cans?

ROZZIE FRANCO, WFLA, FLORIDA NEWS NETWORK: That's correct. And before I get into the gas cans, I just want to clarify something. When I grabbed Cindy Anthony, I did speak to her about the father, and I'm not negating Steph's report at all, but Cindy Anthony confirmed to me that the father never had any interaction with Caylee at all. She was not -- he was not on the way to her birthday party. He had never even seen the child.

Now, getting back to the gas cans, this is a good question. The gas cans remain a mystery. George Anthony, the grandfather, said that his shed was broken into on June 24 and the two gas cans were stolen. When asked about the incident, he refused to talk to media about it. But he did file an incident report with police.

Now, whether or not they were used to destroy evidence is still unanswered. Deputy Carlos Padilla was unavailable for comment on that.

COLBY: But Rozzie...

FRANCO: Now, he did confirm...

COLBY: Rozzie -- Rozzie, first of all, as far as the father is concerned, the grandmother said that the father of Caylee is dead, and we're hearing this report that Casey reported that he died in a car crash. So either way, it doesn't seem like he's around. Getting back to the gas cans...

FRANCO: Right.

COLBY: ... The question is, Why would the grandparents have the police come to the house to report two gas cans you can pick up at the Home Depot for $2.99, probably, and it's a date after Caylee was missing, by their own report -- they reported it on the 24th, they say they last saw her on the 15th -- and they never mentioned to authorities that Caylee is missing?

FRANCO: Right. That mystery still remains. They did report that incident. And Casey has stolen gas before. Now, unfortunately, we don't know if those -- what those gas cans were used for. The possibility still remains.

I want to move on here to investigators who spoke with Casey and the family yesterday for five hours and could not disclose what they spoke about. However...

COLBY: OK. I'm going to ask you to hold that thought, Rozzie. I have to take a quick break. But it is bizarre that authorities were called to that house when a little girl was missing and the report -- I saw the incident report. The whole thing says two gas cans missing. That's it. Much more on this case, believe me.


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