What does the prophecy in Oedipus Rex by Sophocles mean?

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Oedipus tells Jocasta, his wife (and mother, though he does not know this yet), that some drunk guy at a banquet a long time ago shouted out, saying that Oedipus was not really the son of Polybus of Corinth, as he'd been raised to believe. He could not let it go, despite his parents' attempts to comfort him, and so he went to the oracle at Delphi himself, we assume to find out if what this drunkard said was true. Rather than answer his questions, however, he says that Apollo, via the oracle, offered him

Woes, lamentations, mourning, portents dire;
To wit I should defile my mother's bed
And raise up seed too loathsome to behold,
And slay the father from whose loins I sprang.

In other words, the oracle told Oedipus that he would have sexual intercourse with his mother ("defiling her bed"), that he would father children by her (the "loathsome seed" he would "raise up"—the children are loathsome because they are the product of incest), and that he would actually kill his natural father (from "whose loins" Oedipus was produced).

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The most important prophecy in Oedipus Rex by Sophocles is one that was made before the actual action of the play. The oracle at Delphi prophesied that if Laius had a son, the son would kill him. Thus, when Oedipus was born, Laius ordered him killed. The servant ordered to expose Oedipus (the traditional Greek manner of letting unwanted infants die without bringing down the pollution of murder) gave the infant to a shepherd rather than killing him. The child Oedipus ended up being adopted and raised by the childless King Polybus, and Queen Merope of Corinth.

When Oedipus meets Laius at the crossroads, Laius does not know that Oedipus is his son and Oedipus does not know Laius is his father. When Laius and Oedipus fight and Laius dies at Oedipus' hands at the crossroads, the prophecy is fulfilled.

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