Program buyers are buying the cash market and selllng the premium in the futures all the way up. It's called stock-index arb. Corporate treasuries will often deploy a percentage of their cash flow in this manner because it is a "hedged" strategy with a specific rate of return.
I thought it was that simple with an electronic order book market like the eminis, where you don't have a specialist or block trades or anything like that to complicate things. Unless a stale quote is getting picked off, a trade at the bid means somebody is paying the spread to sell and vice versa. What am I missing? I am not implying knowing that is enough to trade on, but I think it is enough to figure out which side is paying for liquidity at the moment. I also just replied because of your handle - let it snow!