The Sphinx was an ancient and terrible marauder which reigned over Thule, forcing its subjects to worship it. It was the most powerful augurer in the nine corners of the Universe, and it was infamous for speaking in riddles. It had a feline, feminine form.
Ultimately, it was overthrown and killed by the Gallifreyan Hero Prydonius, who took its temprogenically-preserved head back to Gallifrey for study at the Academia Library. When Vael saw it from the crowd, its glittering amber eye spoke to him in riddles. He continued to see its eye in his head, sometimes taking the form of the eyes of Pythia or Loie, or the shape of Pazithi Gallifreya.
Seeking the Sphinx's psychic powers, the 508th Pythia had its eye stolen so she could use it to speak with Vael. (PROSE: Cat's Cradle: Time's Crucible)