Perhaps the indication about VN's words on "his watermark" is not in Strong Opinions.After recovering various interesting observations about VN's references to composition and style I came no closer to his words about a specific "watermark."
I tried the internet but found only Vera's words: "Vera Nabokov identified the 'otherworld' as Nabokov's watermark" in linkinghub.elsevier.com/retrieve/pii/S0304347997852076.
Here are two other possible indications, still to be explored: "The Pattern of Cruelty and the Cruelty of Pattern in Vladimir ..." de L de la Durantaye - 2006 -For Nabokov, this 'intricate watermark' stamped upon our life becomes visible first with the aid of 'the lamp of art'. camqtly.oxfordjournals.org/cgi/content/full/35/4/301 or, de La Durantaye's Style is Matter: "The watermarks [Nabokov] so carefully stamps on the pages of his works are not just the means through which he discovers his own 'intricate watermark,' ... muse.jhu.edu/journals/nabokov_studies/v011/11.pifer.html
 
Searching for VN's words about "watermark", I found another pertinent quote (SO,Vintage, 16/17) with a penciled question mark ("human characters=carousing hunters?")
" I don't write consecutively from the beginning to the next chapter and so  on to the end. I just fill in the gaps of the picture, of this jigsaw puzzle which is quite clear in my mind, picking out a piece here and a piece there and filling out the sky and part of the landscape and part of the - I don't know, the carousing hunters."
 
pg.69: "I find cards especially convenient when not following the logical sequence of chapters but preparing instead this or that passage at any point of the novel and filling in the gaps in no special order...The greatest happiness I experience in composing is when I feel I cannot understand...how or why that image or structural move or exact formulation of phrase has just come to me."
 
aphorisms (page 155) "the best part of a writer's biography is not the record of his adventures but the story of his style." (p.63) "The writer's art is his real passport. His identity should be immediately recognized by a special pattern or unique coloration. His habitat my confirm the correctness of the determination but should not lead to it"
 
on a "monstrous semblance of a novel" ( Pale Fire, in SO, p.75): "The form of Pale Fire is specifically, if not generically, new." ( We learn, extratextually, about Kinbote's suicide**).  When an author writes "the end" (in his mind or on paper) this signal resignifies the entire novel. Can anyone help me locate one, or two, of TOoL's "finis"? After all, "Dying is Fun," does not apply to Flora,to Laura or Aurora. Wild, in Ivan Vaughn's "TOoL," is merely a character named Philip Sauvage* (I forgot where Hubert H. Hubert fits.) The end note on "erase, exponge, etc" is not an intended ending by VN, or is it? 
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* Strong Opinions, Vintage, p.258: "...in this peculiar group of peculiar French there is the word sauvage, which according to Mr. Wilson should not have appeared in my rendering of [...] "sauvage, sad, silent"; but apart from the fact that is has no exact English equivalent, I chose this signal word to warn readers that Pushkin was using dika not simply in the sense of "wild" or "unsociable" but in a Gallic sense as a translation of 'sauvage." 
 
** SO page 74: "I think it is so nice that the day on which committed suicide ( and he certainly did after putting the last touches to his edition of the poem) happens to be both the anniversary of Pushkin's Lyceum and that of 'poor old man Swift' 's death" (see variant in note to line 231)" (the interviewer has asked VN about Finnegans Wake and if it was "just a coincidence that Kinbote's 'Forword" to Pale Fire is dated 'Oct.19,' which is the date of Swift's death")
 
A lost and found quotation (SO.p.44) for Februaty's L-postings on  prosody,poetry and prose: "As in today's scientific classifications, there is a lot of overlapping in our concept of poetry and prose today. The bamboo bridge between them is the metaphor." 
 
 
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