At the beginning of the story, a falling leaf and a chill in the air alert Soapy to the fact that winter is coming. Soapy has been sleeping in Madison Square, but it is now becoming too cold to stay outside. His needs for the winter are simple: three months with food provided every day and a bed every night in a place where he will be safe from the cold and the police will not bother him. In former years, he has always managed to secure these comforts by getting himself arrested and sentenced to spend the winter months in prison on Blackwell's Island, where the penitentiary will provide for all his needs.

Soapy seems to think of Blackwell's Island prison as a Winter holiday resort for the very poor, the equivalent of richer New Yorkers going to Florida or even the Mediterranean. He has always been able to secure a place there before by the simplest of means, such as eating at a restaurant then failing to pay, but, this Winter, it proves much harder to provide for his simple wants. As often happens in O.Henry's short stories, a situation which would be bleak and depressing in real life is made comic by the breezy, whimsically ironic narrative style.