Keep in mind that the anus has to 2 sphincters, the outer one that you can see when you look at your bottom and another one inside of that. The outer one you can control (open and close it yourself), but the inner one is involuntary. Thus, that's why it hurts most people; they haven't waited long enough for that inner sphincter to open up on its own. It obviously does open eventually if you apply gentle pressure from fingers or a toy or his penis and you try your best to relax, but you must be patient; it will open up when it is ready to. That can make all the difference in how much, if at all, that it hurts at first.

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Communication is the key.