According to legend, this delicate thread is the ravelling of the Virgin Mary’s winding-sheet, which fell to earth on her ascension to heaven. It is said to be God’s seam, i.e. God’s thread. Philologically it is the Latin gossipin-us, cotton.
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Entry taken from Dictionary of Phrase and Fable, edited by the Rev. E. Cobham Brewer, LL.D. and revised in 1895.