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Continuing with the theme of heartbreak central to "MAGDALENE", “sad day” tackles twigs' determination to try and salvage a fading relationship.

Sonically, “sad day” is a dark and cinematic song over which twigs lays haunting and vulnerable vocals. As Pitchfork’s Stacey Anderson pointed out in her review of the track:

"'There are glitches in the production which almost sound like pouring rain, adding an even more visual, darker and melancholic feel to the song.'"

The song was first teased during an interview with i-D Magazine from September 2019, with twigs commenting:

"'I find it neurotic, It’s all on the same note, it’s creepy. It’s asking, in the monotony of your life, would you take a chance on someone for something bigger? Would you take a risk on love and possibly being hurt again?'"

Upon the album’s release, twigs sat down with for a subsequent interview with Zane Lowe and commented on the song, saying:

"'It’s not something you can plan when you’re like writing either. It’s not something you can think, like, “Oh yeah, you just put the chords like this” when you create that space. It does just happen.'"

The song was premiered on Annie Mac’s Hottest Record on BBC Radio 1 on November 4, 2019. It served as the final promotional single before the release of the album.

Prior to the song’s release, twigs revealed that the song has an accompanying music video directed by Hiro Murai, although it was seemingly postponed and shelved. On August 26, 2020, twigs announced the video would finally drop on the following day on August 27.

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