In this work, we consider the thermo-mechanical exergy of a substance for cold applications, even as it approaches absolute zero. This is relevant for cold-service applications such as refrigeration, liquefied natural gas, air separation, and liquid hydrogen. We demonstrate how the optimization formulation for the determination of exergy is the most suitable way for process systems engineers to think about exergy. We provide an illustrative example by computing thermo-mechanical exergy of neon approaching absolute zero. We also discuss how this result relates with the Third Law of Thermodynamics, both how it is used to compute thermo-mechanical exergy, but also what it implies about the validity of the results and the equations used to compute them.