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It started out as the usual internet autists that systematize any topic to make wikis about the millions of niche political ideologies or genders applying their talents to the "sociosexual hierarchy". The pseudopsychological concept where we attempt to understand human social relations using the terms designed for pack wolves like alpha and beta. Which got pretty popular in the redpill/PUA circles at some point.
Like any incomplete model it had to be extended to fit enough archetypes to please everyone, and sigma is essentially the MGTOW archetype, or as he is classically called, the Übermench, the man who lives life according to his own principles.
People started to make graphs and to try to rank the archetypes, eventually putting sigma on top because, well he's better than the alpha because he's beyond the hierarchy since he refuses to acknowledge it, which not only sounds like immense cope it is also extremely memable.
So the internet did what it does best and started making ironic meme clips of movie characters "acting according to their own principles" and getting praise for doing insane self serving evil shit, most especially with Patrick Bateman who's already a meme icon in his own right.
And then it just followed the usual process where every ironic meme slowly turns post-ironic when people start thinking that while idolizing Walter White murdering a whole bunch of people for his own gain is funny because it's so wrong, there's also a kernel of truth to the idea that, as a man, social norms are burdensome and you deserve to pick your own fate.
So in a nutshell, the Sigma male started out at somewhat ridiculous element of a theory of social hierarchies and became a memetic exploration of will to power.
And we pretty much seem to have stabilized at MGTOW-but-post-ironic and with a better aesthetic than middle aged men whining about getting shafted in their divorce.
I thought it originally had a "spergy" quality to it. Basically like a James Damore-type guy who is too autistic to often notice let alone care about social cues and women.
Then somehow Tommy Shelby became a sigma.
I believe the original poster boy for it was Keanu Reeves who also has his own meme connotations but is pretty definitely the transcendental sperg that does stuff for its own sake.
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