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The extravagant parties allow Gatsby to shroud himself in secrecy. Gatsby hides behind the opulence; there among the maddening party goers, he can remain illusive and an enigma. Ironically this fuels more suspicion about his past.
Here is a quote that displays Gatsby's illusiveness and the conjecture it fosters:
"Somebody told me they thought he killed a man once."
A thrill passed over all of us. The three Mr. Mumbles bent forward and listened eagerly.
"I don't think it's so much that," argued Lucille sceptically; "it's more that he was a German spy during the war."
One of the men nodded in confirmation.
"I heard that from a man who knew all about him, grew up with him in Germany," he assured us positively. (Chapter 3)