Madrid in the dog days of August, and in the ferocious grip of the heatwave they're calling Lucifer. Anyone with the means to escape the furnace of the city has long since departed for cooler climes; my best local contact texts to express his amazement at my turning up during the "terrible heat", and to decline my offer of a cold cerveza: he's sailing around Ibiza.

If only he knew. Sure, Madrid is stifling. No doubt, the Balearics will be breezier. But I have good reason to be here, in the cooker. And I can think of many worse things to do with a working Wednesday, whatever the weather, than to have lunch with Spain's most celebrated daughter, a great star of contemporary cinema and — let's not be coy about this — one of the most beautiful women ever to appear in movies, or anywhere else.

My appointment with Penélope Cruz is arranged for 3.30pm at a restaurant 40 minutes' drive north of the city. From the website it looks like it's one of those places that's all terrace, idyllic under almost any circumstance — except, perhaps, in 40°C heat. I imagine us sheltering from the scalding sun beneath a thin parasol, her cool and soignée behind mega shades, caramel skin glowing, while I roast and sizzle, beads of sweat trickling from my nose into my soup. I'm sure Penélope Cruz wearied long ago of men reacting in embarrassing ways to her presence, but an Englishman assuming entirely liquid form while attempting to conduct a magazine interview with her might be a new one, even on her.

Happily, the restaurant is not, it turns out, all terrace. It occupies a 16th century Castilian building, and is as traditional as that makes it sound: gnarled wood beams on the ceilings, faded tapestries on the walls, a hush that might have lasted since the Middle Ages. It's dark inside, and cool. Too cool. Having arrived idiotically early — only shortly after the close of the 16th century — and been given a choice of tables for two, I've cleverly selected one underneath an air conditioning vent: surely the only place in southern Europe today where a diner might suffer frostbite. I scrape the chairs about, positioning myself directly beneath the blast of icy air and moving the empty seat as far away from it as possible without seating my interviewee in the kitchen. And then I hope, as perhaps no man before me ever has, or will again, that Penélope Cruz will arrive for our tête-à-tête swaddled in multiple layers, with perhaps a thick scarf over a shapeless woollen jumper. And an anorak. And a bobble hat.

Blowing on my frozen fingers to keep them warm, I wait. At last the maitre'd — tall, elegant, saturnine — strides towards me, beckoning with his pad and pencil, and I follow him through the restaurant and outside, onto a covered terrace that is bright and warm and deserted but for a small, dark-haired woman, sitting alone at a table for two, tapping on her phone. She's wearing a thin black T-shirt, off the shoulder, dark jeans, flat shoes. No sunglasses. No scarf. We shake hands. She hopes I don't mind sitting out here, where it's more pleasant. I do not.

She wants to get the business with the menus out of the way before we talk. "You trust me, no?" she asks. I do.

She peppers the maitre'd with a series of rapid-fire questions, purses her lips while she listens to his answers, and then makes some crisp decisions. My Spanish is pathetic but I gather that she has ordered me gazpacho to start, and a salad for herself, and then she checks if I'm a vegetarian — I'm not — before suggesting we share a plate of meat, which she says is very good here. Meat? More conferring with the maitre'd. "Cow," she says. Perfect. I love cow.

"Vino?" she asks. "Wine?" Yes, I say, wine. She won't have any herself. She hardly drinks at all. At a party recently she had a beer, a single can, gluten-free, and it went straight to her head. Well, perish the thought of that happening. (I don't say that, obviously. But I do think it.) Once more she confers with the maitre'd, and a bottle of red arrives, and I'm invited to taste it, and it's smooth and rich and heady and full bodied — you think I'm making this up — and just when it seems things could hardly get any better a big plate of Iberico ham makes its entrance. She eats this with her fingers, rolling each piece as if it were a tiny, salty carpet and popping it into her mouth.

The cow mentioned earlier is a ribeye steak that could feed a blockbuster film crew, grilled and sliced. When it arrives, bloody, possibly still breathing, she requests what turns out to be a table-top hotplate, which is placed between us and on which she singes each slice of meat to her desired requirements before biting into it. She indicates that I should do the same, so that our conversation, for quite a while, is punctuated by the sound and smell of sizzling steak.

She tells me she's jet lagged, having returned only a day earlier, en famille, from LA. But I can find no evidence whatsoever for this assertion. Not once does she yawn or flag. She was in the US to film the next series of American Crime Story, the fizzy TV show that, having dealt already with one high profile Nineties celebrity murder case, in The People v OJ Simpson, now turns its attention to The Assassination of Gianni Versace, with Cruz as Donatella — a prospect, for fashion and pop culture nerds such as myself, almost as succulent as our shared steak.

This is the first TV show Cruz has made since she was a teenager. "The rhythm of television is different because they're writing so quickly," she says. "Sometimes you get the new scenes three, four days before you shoot. So that's a new thing for me. It's a lot of dialogue, in my second language, but with [Donatella's] accent, which is Italian."

Not that Cruz hasn't previously made a film in which she speaks Italian-accented English. (Imagine, as an English-speaker, trying to impersonate a Spaniard with a German accent and you can see how daunting this might be.) "I did it in [the musical] Nine," she says. "And I have played an Italian woman before, in Italian, in Don't Move, the movie with Sergio Castellitto — I don't know if you've seen it — so I am familiar with the language. I speak Italian. But still, it was a big challenge."

That "I don't know if you've seen it" is, I hope, not as pointed as it might sound, but I'm glad that I have seen Don't Move, and don't have to pretend. (She might ask questions.) Cruz is completely charming, but something about her — something steely and self-possessed — says I wouldn't want to displease her. On only a couple of occasions do I inadvertently cause a flash of what might have developed into irritation if I hadn't quickly clarified things. At one point, I mention that she had made a small number of Spanish films before embarking on her Hollywood career. She mishears me. (Probably I've a mouthful of cow.)

"I've only done a couple of films in Spanish?"

No, no. I meant to say that at that point in your career you'd only done a couple. I am aware you have made many films in Spanish. The smile returns.

Another time I ask her if she feels that Hollywood directors, in the early years of her career in America, did not understand how to use her correctly, because of her beauty, her accent, so exotic to Anglophone eyes and ears.

"They used me?"

This was perhaps a poor choice of words. She thinks I'm suggesting she was exploited. No, I say, not at all. I mean they weren't sure how best to employ your talents, so rather than the nuanced and layered and three-dimensional characters you played in European films (I'm gabbling here), in America you were too often the generic Latina lovely, there to make the leading man look virile. Even Pedro Almodóvar, her compatriot and greatest collaborator, has said so.

"Oh, OK," she says. And we're on good terms again. (Though for the record she takes issue, quite persuasively, with this characterisation of her early Hollywood films as unworthy of her.)

Cruz was 18 when many of us first saw her in the Spanish sex comedy, Jamón, Jamón. She was gorgeous then but, understandably, still girlish, a little gawky. She is 43 now. Nobody looks today exactly as they did in 1992. That would be weird. But to say that she is ageing well is to considerably undersell her allure. Today, the glamour is dialled down — not that I'm an expert, but I can see hardly any makeup — and, perhaps as a result, her beauty seems more extreme, rather than less.

Woody Allen, who has directed her twice, including in Vicky Cristina Barcelona (2008), the film for which she won her Oscar, once said that Cruz's beauty is so overwhelming that he found himself unable to look at her directly. I must say I'm struggling with the reverse problem: I have to make an effort not to stare.

She doesn't look anything like the girl next door, then. But she grew up just down the road from where we're sitting. And while she has, at various times, lived in New York and LA, and spent months on movie sets around the world, this is her home.

"I'm very Spanish," she says. "I love my city and I love my country. The food, the culture. And it's where my mother is, my sister. I'm very family-oriented. This is a very Spanish thing. And also the way we speak, you know? Like if we are in a big group, we all talk at the same time. I love that. I love it!"

Just as the cliché of us Brits, I venture, is that we're admirably stoic but also cripplingly repressed, the cliché of the Spanish is that they are intensely passionate and given to displays of high emotion. Her character in Vicky Cristina Barcelona, the spectacular María Elena, is the ultimate hot mess: sultry one moment, murderously enraged the next, the Spanish firecracker par excellence.

Does she recognise any truth in that?

"No."

Not at all?

"No! Spanish people are not like my character in Vicky Cristina Barcelona. She was crazy!"

And we both press another slice of steak on the sizzler.

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Vintage lace corset dress, by Found and Vision

The road from Madrid to San Agustín del Guadalix unspools through arid scrubland, passing strip malls and business parks, and sun-bleached suburbs of sand-coloured high-rises. On the way to the restaurant I pass the turn-off for Alcobendas, the working-class town where Penélope Cruz was born and grew up, eldest of three — two girls and a boy — born to Eduardo and Encarna. He worked in a hardware store; she ran a hair and beauty salon. (Cruz has some skills in that department herself, she says, telling me a story about doing her friend Salma Hayek's hair and makeup, by candlelight, for a premiere in LA, a scene that could have been scripted by Almodóvar.)

When she won her Oscar, in 2009, the first Spanish woman to do so, Cruz's acceptance speech acknowledged, winningly, that things like that just don't happen to girls from Alcobendas. She says something similar today.

"Nobody around me had a job related to the arts, music, anything like that," she says. "The dream was much more humble, but it was big for me. It was: 'I want to be independent when I'm older and have a job that I love. It's either going to be a dancer, or an actress.' Just to be able to eat from that, that was my dream. If somebody [back then] would have shown me a picture of me with an Oscar in my hand, that would have been like somebody telling me, 'At some point you will go to the moon.'"

When she was 13, her father bought a Betamax player. They were the first of any of the families they knew to own such a thing. Immediately, she fell in love with movies. "This machine, it really changed my life," she says. Instead of going to the park, playing out with friends, she would rent movies, two and three at a time. The family called her Space Cadet, because she lived in her imagination, fired by film. "We didn't have a [cinema] near enough that I could walk to, and we didn't have a car, but at home I was studying cinema. I discovered Billy Wilder, Marilyn, Sophia Loren, Pasolini… Every time I discovered somebody I was blown away. Anna Magnani, Bellissima. I would watch it three, four times in one week."

The film that really changed her life, as she puts it, she did see in the cinema, at age 14: Pedro Almodovar's Tie Me Up! Tie Me Down! It's a famous story in Spain, of how the future muse of the nation's most important director since Buñuel encountered his work for the first time as a young girl, sitting alone in the dark of a Madrid picturehouse.

"I came out, I took a walk and I said, 'I'm going to look for an agent. Because one day I want to meet this man. And I want to thank him. And I would love to work with him.'"

At 15, she approached a manager. "I lied to her. I said I was 17. She sent me home, I came back. She sent me home again, I came back." After a third failed screen test she improvised — "I don't know where that tape is, it would be so embarrassing to see" — and she is still with that same manager, Katrina Bayonas.

Her breakthrough — a memorable one — was Jamón, Jamón, Bigas Luna's feast of carnality, with its delicious tagline: "A film where women eat men and men eat ham". (I once saw the title translated as Salami, Salami, which is inaccurate but also spot on.) She played Silvia, a small-town coquette whose breasts, we are told, taste of ham. Cruz received the first of many nominations for a Goya award — the Spanish equivalent of the Oscars — and has hardly looked back since.

Jamón, Jamón is also notable because it introduced her to her husband, the tremendously cool and charismatic actor, Javier Bardem, though it would be another 16 years before they got together. (They married in 2010.) In Jamón, Jamón, Bardem played the local stud for whom Silvia throws over her rich kid boyfriend. The future first couple of Spanish cinema shared a number of steamy scenes.

"I had a feeling the movie was going to be special," Cruz says now. "I knew the script was good. I knew there was something very unique there. Even if I had not seen many scripts before, it was so clear, it was so brave, so refreshing. And yes, it was very sexy."

Did the nudity not put her off?

"I thought, 'There is a character there, there is a style, the material is really good.' Of course I was not looking forward to those scenes but I did it. Everyone was really respectful, aware of the fact that I was 18. I remember the last day of filming, I was crying, saying, 'What if I never shoot a movie again?' The feeling was devastating. 'Who knows when I will see these people again?' Including Javier."

In a magazine interview last spring, Bardem remembered Jamón, Jamón: "There was obvious chemistry between us," he said. "I mean, it's all there on film; it's like a document of our passion. One day we're going to have to show the kids — imagine! 'Mummy, Daddy, what did you do in the movies together?' Well, my children, you should celebrate this movie as you're here because of it."

It was followed the same year by a less sexy film: Belle Époque, in which Cruz played the virginal daughter of a local worthy in Civil War-era Spain. A gentle comedy of manners, it won the Oscar for best foreign language film.

"I was very lucky that these two movies came out at the same time," she says. "It meant I wasn't put in a specific box. And what I did is that I went away for a while from anything that had to do with nudity or sex scenes because I felt that I needed at that point to stay away from that. Not as a calculated plan. Personally, I needed that."

She still had dreams of dancing, and at 19 she moved to New York to study. She lived in Greenwich Village, on Christopher Street, with a bunch of Spanish friends, all learning English and enjoying being away from home, footloose in the big city.

"I fell in love with New York in a crazy way," she says. "I was very happy there. But I was always coming back [to Spain] for movies and then I got an agent [in LA] and they started to send me to castings." She realised she had to make a choice. Dancing lost.

The first call from Pedro Almodóvar, the man who would become the von Sternberg to her Dietrich, the Bergman to her Ullman, had come in the wake of her first successes, when she was still a teenager. She was at home. Someone else answered. "At first I didn't go to the phone because I thought it was a joke. Everybody knew I was obsessed with him. I couldn't believe it. He said, 'I'm calling to congratulate you for your performances.' I said, 'No. It's not possible. I dreamed such a big dream. It's becoming true.'"

She auditioned for Almodovar's 1993 film Kika, but he felt she was too young for the part. "But he said to me, 'I will write you a film that will fit you like a body.'" (Another translation that doesn't quite work but is also unimprovable.) She auditioned again for the lead in Live Flesh (1997). Again, he wanted someone older.

Some years ago, I interviewed Almodóvar specifically about his relationship with Cruz — he was at that time promoting Broken Embraces, a film at least in part about a passionate affair between a film director and his leading lady, played by Cruz.

For Live Flesh, he said, he felt he needed a woman with more of a past. "So I offered Penélope a minor role," he said, "thinking she would refuse. When she accepted I decided to develop the part. I made it into an eight-minute set piece: she's a young prostitute from the provinces who gives birth on a bus on a dark night in Franco's Madrid. It's one of the things that I'm most proud of in all I've done. And many, many people have also said that it's one of their favourite things in my work. In fact, Stephen Frears told me that after watching it he decided to offer Penélope her first American movie, The Hi-Lo Country, based just on that one sequence."

That was just the beginning. To date they have made five films together. In All About my Mother, Almodóvar's "screwball melodrama" from 1999, she plays Sister Rosa, a nun working in the slums of Barcelona, who becomes pregnant by a transvestite prostitute and contracts Aids. (The director is not known for his cowardice.) "It was a very tricky part," Almodóvar told me, "a hard character to play realistically. But she has an amazing combination of resilience and vulnerability." She plays Sister Rosa absolutely straight, with great delicacy, and is extremely affecting.

The best was yet to come. She received her first Oscar nomination (Helen Mirren won, for The Queen) for Volver, from 2006. Here was the role that fit her like a body. It was a love letter to her specifically, and to the strength and beauty of the working-class women of Spain in general. A comic drama, full of vivid life and colour, it concerns the struggles of Raimunda, a poor single mother living off her wits in a rundown suburb of Madrid.

Almodóvar had Cruz's bottom padded for the part, to enhance her curves, and his camera lingered on her legs, her shoulders, her chest. In his production notes — the reams of printed pages offered to journalists at preview screenings — Almodóvar described hers as "one of the most spectacular cleavages in world cinema". At one point, abandoning formal niceties altogether, he chose to shoot a kitchen scene from above, presumably for no better reason (and perhaps there couldn't be one) than to allow the audience a good look down Cruz's top.

"From my perspective," Almodóvar told me, "[Volver] is a film where the lens and my eyes are guided by desire towards the actress… The character is a housewife, but very desirable. It's something that happens very rarely, but when desire guides the lens, when it's legitimate, it really informs the character."

"For Pedro and for me it was like a dream, what we experienced together making that movie," Cruz says to me, drawing a circle in the air with her hands, as if to indicate a place of enchantment into which they were drawn. "It was like a dance. Everything came so easy, so fluent, so magical. That doesn't happen every time."

All About my Mother and Volver achieved instant classic status. The same cannot be said of every film she has made in America. In her early days in Hollywood, even when, as often, she worked with excellent film-makers, and played opposite huge stars, it was seldom on their best work. All the Pretty Horses, directed by Billy Bob Thornton, with Matt Damon, was a somewhat lame adaptation of the Cormac McCarthy novel. Cameron Crowe's Vanilla Sky — a remake of a much better Spanish film, Open Your Eyes, in which Cruz also starred — was a shocker. Ted Demme's Blow, a drug smuggling drama about as deep as a late-night coke conversation, was chiefly notable for Johnny Depp's collection of wigs. Captain Corelli's Mandolin, an adaptation of Louis de Bernières' bestseller, with Nicolas Cage, was a film almost as lovely to look at as its female lead, but not nearly as interesting. Sahara, with Matthew McConaughey, was a slog.

She stands by those movies. She learned from each. She met people who remain important to her. (Including Tom Cruise, with whom she was romantically involved between 2001 and 2004.)

"I chose all those films for different reasons," she says. "And maybe they are not at the top of the list of favourite movies that I've done but actually I don't have a lot of regrets. With The Hi-Lo Country [Frears' cowboy bromance] and All the Pretty Horses, I spoke such a little amount of English at the time, it was so scary. But it was a chance to have a career there, to combine it with my work in Europe and to work with great people. I'm not going to say no."

Happily, better English-language roles came. She points to Elegy, an adaptation of Philip Roth's The Dying Animal; and to Nine, for which she received her third Oscar nomination. A musical inspired by one of Cruz's favourite films, Federico Fellini's , Nine starred Daniel Day-Lewis, in the Marcello Mastroianni role, as the maestro trying to make a movie and juggle the many women in his life: Nicole Kidman as his leading lady, Marion Cotillard as his wife, Sophia Loren as his mother, Cruz as his mistress. ("I'll be here," she tells him, "waiting for you, with my legs open.") Even among such stellar competition she steals her scenes, not least with a showstopper song and dance number in the form of an elaborate and gravity defying striptease.

Like almost every actor who works for as long as she has, she still endures her share of high profile duds — Sex and the City 2, Zoolander 2, Grimsby with Sacha Baron Cohen — while the smaller, often better films made outside America don't receive anything like the same attention.

No matter, she says. It's the experience that means the most to her. "The definition of success for me, and what I look for is, what did I learn? And am I proud of it when I finish it? There are some movies that I'm really proud of. Like Ma ma," she says, referring to the 2016 film in which she plays a woman suffering from breast cancer. "I produced that movie. Not a lot of people saw it. Does that mean that it was not successful? For me, no. I'm more proud of Ma ma than other things that have had huge box office success or great reviews. Because I really love acting. I really do. And that hasn't changed from the beginning."

What is it about acting that she loves?

"I'm fascinated by human behaviour," she says, "by how people relate to each other, how people solve conflicts or how they try to. It's such a fascinating thing that it doesn't matter if I've done 100 movies one day, I will still feel like I'm not finished with this. It means you always feel new. You always feel young. You always know just a little more than last year, but it's just a little.

"It doesn't matter if you have become famous, well-known, if people look at you in the streets. You have to stay the one that is allowed to be the observer. Otherwise, as an actor, you are dead."

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Vintage lace corset dress, by Found and Vision. Silver rings by Bulgari

Cruz has been famous now for a quarter of a century. In Spain, she is almost royalty. She's the only Spanish woman to win an Oscar for acting and her husband is the only Spanish man to do so. Apart from the home-grown heroes of Real Madrid and FC Barcelona, and maybe Rafa Nadal, she might be the Spaniard best known outside her country.

Her life in Madrid is far less circumscribed than it is in the States, she says, where the paparazzi are much more of a problem and the attention on her and Bardem and their kids far more intrusive. In Spain, "I go to the supermarket, I walk here, I go everywhere I want to. That's why I prefer to live here. LA is difficult. I love LA, New York and London, but you have to live in the place where you can have more of a normal life, and raise your family that way."

She is scathing about the corrosive effects of fame, and not just on the famous. Would she miss it if she were no longer well-known?

"I don't know. I've asked myself that question. I went from really wanting to be famous at the beginning, to not liking it at all, to making peace with it and saying, 'OK. This is just a consequence of my job.'"

She was famous before the celebrity age, before the internet. "Before even cellphones," she says, looking wistful. "No texting, no social media, no nothing. I was lucky."

Not that she escaped unwanted attention. "I know what it's like to be walking in the street — I was 17 or 18 — and then in the same five minutes to hear, 'I love you!' and then a minute later, 'Bitch!' I looked at my dad and said, 'I guess this is what it feels like to be famous.'"

What did she learn from that experience?

"To always be alert, to always look at it from a distance. Especially when I have gotten amazing reviews I have felt like, 'OK, be careful.' Those are the ones I have to read with even more distance. Because the size of the screen is out of proportion. Everything is out of proportion. Don't believe what they write about you. It's an illusion. It doesn't exist.

"And then there is a line I don't cross. My personal life is not public. My job is public, yes, but once I've finished and I'm gone from the set, whatever I do later — with my family, my children — I have to protect that."

Steak dispatched, jamón ingested, wine smudges on the linen tablecloth (well, my side of it)… after close to two hours of conversation, and serious eating, Cruz checks the time on her phone, does a double-take, and realises she's supposed to be in an ADR suite nearby, recording dialogue for a forthcoming movie.

This one is called Loving Pablo. It stars Cruz as Virginia Vallejo, the real-life Colombian TV newsreader who had a long running affair with the notorious narcotrafficker, Pablo Escobar. (Spoiler alert: this is not a romcom.) Escobar is played, with considerable menace, by Javier Bardem.

It's impossible to judge a film on a few unfinished scenes — and that's all I've seen of it — but at the very least Loving Pablo looks like a gold-plated opportunity for Cruz and Bardem to demonstrate the on screen intensity that made them both famous.

I wonder what it was like for them, working together again, now as husband and wife, especially on such harrowing material. In Loving Pablo, the relationship between their characters is volatile at the best of times. "It's true that I was worried at the beginning," she says. "Like, how does that work, with characters that are so hardcore and that have scenes where he has to treat her [badly] and she's is so desperate? It's such a raw, horrible, disturbing thing, the state that she gets in.

"But at the end I thought, in a way, thank God we were there protecting each other. I was safer that way. Because you are jumping in and out of this fiction many times a day, but then you go home together and it stays on set. I never take my characters home," she says. "I don't want to speak for Javier but I know he doesn't do it either. Because how are you going to do that when you have a family?"

The collaboration must have gone well enough, since the film she was just preparing to begin when we had lunch is another co-starring Bardem. This is Everybody Knows from Asghar Farhadi, the brilliant, Oscar-nominated Iranian director of A Separation and The Salesman. It's a psychological thriller about a woman who travels with her family to her hometown in Spain. And beyond that she's saying nothing about it, but cinephiles' appetites will be whetted already.

Before that, there's this month's Murder on the Orient Express, Kenneth Branagh's adaptation of the Agatha Christie classic with the director himself as Hercule Poirot and an ensemble cast starrier, not to mention classier, than any Marvel movie could muster: Judi Dench, Johnny Depp, Michelle Pfeiffer, Willem Dafoe, Derek Jacobi, Daisy Ridley from Star Wars... and our Penélope as Pilar Estravados, a missionary, prim though hardly plain.

As movie goers older than Cruz and I will know, Murder on the Orient Express has been filmed before, on more than one occasion. The most celebrated version, directed by Sidney Lumet in 1974, boasted, if anything, an even more rarefied collection of thespians than that gathered by Branagh: Albert Finney as Poirot, with Lauren Bacall, Vanessa Redgrave, John Gielgud, Sean Connery… and, as the missionary, Ingrid Bergman.

I mention to Cruz that things have come full circle for her. In her very first screen test, when she was 14, she was asked to do a scene from Casablanca, with her taking the Bergman role — "standing beside a piano," she remembers. Now she reanimates Bergman again. She's tickled by this. It hadn't occurred to her. But of course, "full circle" suggests an ending, a neatly wrapped-up denouement of which Poirot himself would be proud. But in fact one feels that Cruz's greatest roles may still be ahead of her, as she moves into middle age and grows even deeper into her talent.

Perhaps most of all one hopes that Almodóvar will write her another part, one that again makes use of her extraordinary facility for conjuring the gritty spirit of the women of the place where we are now sitting, and from whence she came, and where she leaves me, standing on the corner outside the restaurant in the hot sun, as dazzled as any interviewer — any person — could hope to be.

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The November issue of Esquire is out now.