The picture was created in 1901, when Picasso was just 19 years old and dealing with depression following the suicide of his friend, Carlos Casagemas. The painting forms part of Picasso's "Blue Period" between 1901 and 1904, when most of his works were painted in shades of blue and blue-green in reflection of his depressed mood.
"Picasso's Blue Period is prized as his breakthrough – this is the moment Picasso becomes Picasso. With her dreamy gaze and frank sensuality, the cabaret dancer in La Gommeuse ushers in a new visual idiom for the 20th century," said Simon Shaw, co-head of Sotheby's worldwide impressionist and modern art department, in a press release.
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"Exploring themes which would underpin Picasso's work for the next seven decades, the painting stands squarely between the bohemian nightlife of Toulouse-Lautrec and the raw expressionism of Munch and Schiele."
The painting's value is estimated in excess of $60 million, a representative of Sotheby's told CNBC via email.