A supercritical fluid is a fluid that shows properties of both a gas and a liquid. It happens because the pressure and temperature of that fluid happen to be in the region where the line between liquid and gas becomes blurred, and you can't tell where one state ends and the other begins.
As far as I remember, a supercritical fluid can still be compressed to some extent, though being supercritical already puts it somewhat near it's physical limit.
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