The Gaité Montparnasse was one of the music halls that Sickert sketched in the autumn of 1907. Although not in Wendy Baron's Catalogue of Sickert's work, it is related to the drawing numbered 295.4 there, which is dated 1907.
Our thanks to Dr Baron, who tells us that the our drawing probably remained in Sickert's studio until after December 1924, for it is signed with 'A.R.A.' (1924 was the year he was made an associate of the Royal Academy)
Prior to becoming a painter, Sickert had been an actor. His uplit drawings of performers in music halls are static and anti-picturesque, but are mysteriously luminous and dramatic.