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.'"

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