In case anyone is curious, this works because of the iron oxide in the toner. I've been wanting to make some ferromagnetic fluid here at work for a while, but don't really have nanoparticles of iron to play with. I'll be doing this soon.

And a minor correction on the video, the fluid is not magnetic (in the normal sense) as he states. It polarizes in the presence of a magnetic field, but it doesn't retain any magnetic properties once the field is removed, which is called paramagnetism.

Relevant reading:

http://en.wikipedia.org/wiki/Ferrofluid
http://en.wikipedia.org/wiki/Paramagnetism
http://en.wikipedia.org/wiki/Ferromagnetism
https://www.imagestar.com/msds/0281119001TRS.pdf (MSDS for MICR Toner, which lists Iron Oxide as an ingredient.)