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This passage is found in Chapter V after Gatsby has spent the afternoon with Daisy, seeing her again for the first time since they had parted five years earlier:
. . . the expression of bewilderment had come back into Gatsby's face, as though a faint doubt had occurred to him as to the quality of his present happiness. Almost five years! There must have been moments even that afternoon when Daisy tumbled short of his dreams--not through her own fault but because of the colossal vitality of his illusion.
Gatsby's illusion was more profound than his belief that he and Daisy shared a deep, mutual love that could be recaptured. He believed that through his efforts and strength of will he could defeat reality with his romantic dreams, the same romantic dreams in which he lived as a young boy. After he met Daisy, she became a part of his grander illusion, but she did not formulate the whole of it.
From his youth, Gatsby rejected his own identity and the life he was born into. He believed he could wipe out Jimmy Gatz as if he had never been, re-creating himself as Jay Gatsby:
The truth was that Jay Gatsby, of West Egg, Long Island, sprang from his Platonic conception of himself . . . . he invented just the sort of Jay Gatsby that a seventeen year old boy would be likely to invent, and to this conception he was faithful to the end.
Gatsby's illusion became his reality. He believed he could wipe out his own identity and personal heritage, as well as the five years that had separated him from Daisy, going back to make their lives turn out as he had wished. The enormous "vitality" of his illusion reflected the amount of energy and imagination he had poured into it:
It had gone beyond her, beyond everything. He had thrown himself into it with a creative passion, adding to it all the time, decking it out with every bright feather that drifted his way.
Gatsby's illusion, simply stated, was that his "romantic readiness," as Nick described it, would prevail over reality.
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