Jay prefers not to discuss the details of his childhood. He was born in Brooklyn, New York, on an unspecified date, probably in 1948, to a middle-class Jewish family, and grew up in Elizabeth, New Jersey. He has never spoken publicly about his parents, with the exception of a single anecdote: "My father oiled his hair with Brylcreem and brushed his teeth with Colgate," he recalled. “He kept his toothpaste in the Medicine cabinet and the Brylcreem in a closet about a foot away. Once, when I was ten, I switched the tubes. All you need to know about my father is that after he brushed his teeth with Brylcreem he put the toothpaste in his hair.” His grandfather, Max Katz, was a certified public accountant and amateur Magician who introduced Jay to magic.