In difficulty, faced with a choice between two unsatisfactory options.
This phrase apparently originated in the USA in the early part of the 20th century but, logic suggests, has its root in the much older expression, "between Scylla and Charybdis" (pronounced silla & karibdis), and is related to the expression, "the lesser of two evils."
In Greek mythology, on his way back from Troy, Odysseus was faced with a narrow channel with dangers on both sides, He chose to sail close to Scylla, a monstress sea goddess who lived under a large rock, instead of Charybdis, another sea monster who lived under a small rock. By sailing close to Scylla he lost six of his companions but if he had sailed close to Charybdis all would have been lost.
In short, finding himself between a rock and a hard place, Odysseus chose the lesser of two evils.
Some time earlier (according to Greek mythology, before the Trojan Wars), Jason and the Argonauts also had to sail past Scylla and Charybdis but, unlike Odysseus who had upset Poseiden (Neptune) and thus found himself at odds with many a sea monster, Jason was guided by Thetis, a nereid (sea nymph/goddess), one of the daughters of Nereus.
Just in case you're wondering, Nereus, also referred to as the Old Man of the Sea, was the eldest son of Pontus (Sea) and Gaia (Earth). According to Greek legend Nereus was supplanted by Poseiden when Zeus, the Father of the Gods, overthrew Cronus, the leader of The Titans.
General opinion is that Sylla and Charybdis lay in the Strait of Messina, between Sicily and mainland Italy. The strait is 3.1 km (1.9 miles) wide at its narrowest point. The rock Scylla is on the toe of Italy, whereas what is believed to have been a whirlpool (Charybdis) is close to the coast of Sicily. A whirlpool, caused by the meeting of currents, does exist at that location today but is too small to cause damage except in extreme conditions.
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