This paper analyzes habit formation in exercise by examining the interdependence between past, present, and current exercise levels. Using login record data from a gym located in the Midwest, along with Quality Controlled Local Climatological Data from the National Oceanic and Atmospheric Administration (NOAA), we estimate the effects of snowstorms on gym visits. The empirical results indicate that severe snowstorms have a causal effect on gym attendance. In light of these results, we use snowstorm variation as an instrument to estimate the dynamic relationship between past, present, and future exercise. We find that past exercise behaviors have an influence on present habits, implying that exercise routine interruptions may have a strong negative impact on habit formation, and that current exercise behaviors depend on anticipated future exercise. Our results imply rational habitual behavior in exercise and provide new insights for the study of habit formation.