My favorite of the whole show even for me. It was proven by the episode again when I re-watched it...
Btw, this makes me think of a fan theory, the Red being Katarina one. You know why people speculate about that? Because of a scene happening in Cape May. It's when they have dinner... The conversation.
Katarina: "You have been here before."
Red: "Once a long time ago. I was a very different person then. You?"
That's how I understand it... That it's a question about her. But it's not sooo clear actually. It could have been him saying that he was her back then.