> Yes, the explanation seems to lie at the end of this line ...
> print(car(x)), space(), print(cdr(x)), space(), print(val(This));
Right, this ('This') is where the object comes from.
> I wanted to investigate this by replacing the '$' function involved by
> one of my own, like this:
> (de dol Args (println Args) NIL)
> (setq $ dol)
This approach is basically correct, in that the '$' function doesn't
evaluate its arguments. Just for the records: You know that '$' must
also evaluate the traced function's body, get the return value, and do a
little further housekeeping.