The probability of early exercise on an American option. In other words, it refers to the amount of time that is left until the option exercise would no longer be feasible. Furthermore, the fugit provides an estimate of the most appropriate time to exercise an option such as an American option or a Bermudan option or an option-based instrument such as convertible bonds, puttable or callable exotic coupon notes and equity-linked convertible notes.

Moreover, fugit refers to the expected value of the time to exercise an American option.

In trading, fugit may also refer to the first date at which an American option is likely to be exercised.