On molecular level, paper has a lot more ‘roughness’ to it than one might think by simply touching it. When you write with a pencil, the graphite that makes up the lead gets trapped in the gaps which create this molecular roughness hence leaving behind ‘markings’.
Edit: You can observe the ‘inverse’ scenario when trying to write with a pencil on a plastic bag or a very smooth sheet of metal. In those cases the surface you are trying to write on is not rough enough to grab onto the lead and get it to stick.
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